A simple representation of the Bera-Jarque-Lee test for probit models / Joachim Wilde
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A simple representation of the Bera-Jarque-Lee test for probit models
Discovery
55727219X
URN
urn:nbn:de:gbv:3:2-6272
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Publication history
Halle (Saale) : Inst. für Wirtschaftsforschung, 2007
Content
Online-Ressource, 11 S.=63 KB, Text
Edition
Language
eng
Comment
Zsfassungen in dt. und engl. Sprache
Abstract
The inference in probit models relies on the assumption of normality. However, tests of this assumption are not implemented in standard econometric software. Therefore, the paper presents a simple representation of the Bera-Jarque-Lee test, that does not require any matrix algebra. Furthermore, the representation is used to compare the Bera-Jarque- Lee test with the RESET-type test proposed by Papke and Wooldridge (1996). -- probit model ; Lagrange multiplier test ; normality assumption ; artificial regression
Series
IWH-Diskussionspapiere ; 2007,13 ppn:37244492X