Testing the normality assumption in multivariate simultaneous limited dependent variable models
On considère le modèle linéaire classique y \(*=\pi x+v\) où seul \(y=g(y\) *) est observable. Plutôt que de tester (alternativement au cas gaussien) une distribution spécifiée pour v, l'auteur, suivant \textit{L. F. Lee}, Econometrica 52, 843-863 (1984; Zbl 0557.62095), choisit d'écrire le développement en série de type Edgeworth (cf. Gram- Charlier) du cas gaussien et de le tronquer à l'ordre 4. Il utilise entre autres un résultat, présenté initialement par \textit{A. P. Dempster}, \textit{N. M. Laird} and \textit{D. B. Rubin} [J. R. Stat. Soc., Ser. B 39, 1-38 (1977; Zbl 0364.62022)], liant les vraisemblances de y, y * et y * conditionnellement en y. Comme un MLE n'est pas toujours disponible, le cas d'un estimateur asymptotiquement normal est envisagé à la suite de Lee et selon une procédure de \textit{J. Neyman} [Probability and Statistics, H. Cramér Vol., 213-234 (1959; Zbl 0104.126)].
- Testing the Normality Assumption in Limited Dependent Variable Models
- Efficient specification tests for limited dependent variable models
- Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity
- A test of the normality assumption in ordered probit model
- A mote on mle's in linear models with non-normal or dependent errors
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply
- End-of-Sample Instability Tests
- scientific article; zbMATH DE number 3169866 (Why is no real title available?)
- scientific article; zbMATH DE number 3843043 (Why is no real title available?)
- scientific article; zbMATH DE number 3549968 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 3354430 (Why is no real title available?)
- Maximum Likelihood Estimation of Misspecified Models
- On methods of asymptotic approximation for multivariate distributions
- Some remarks on overdispersion
- Specification and Estimation of a Simultaneous-Equation Model with Limited Dependent Variables
- Testing for Neglected Heterogeneity
- Testing the Normality Assumption in Limited Dependent Variable Models
- Tests for Serial Defendence in Limited Dependent Variable Models
- Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity
- The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model
- The commutation matrix: Some properties and applications
- The Covariance Matrix of the Information Matrix Test
- The Elimination Matrix: Some Lemmas and Applications
- The Estimation of a Simultaneous-Equation Tobit Model
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- Generalised residuals
- Coherency and estimation in simultaneous models with censored or qualitative dependent variables
- A simple and effective misspecification test for the double-hurdle model
- A test for bivariate normality with applications in microeconometric models
- Bivariate non-normality in the sample selection model
- Testing the Normality Assumption in Limited Dependent Variable Models
- Generalized C() tests for estimating functions with serial dependence
- Simultaneous multivariate tests under the normality assumption
- Testing normality of latent variables in the polychoric correlation
- Semiparametric Estimation of a Censored Regression Model Subject to Nonparametric Sample Selection
- Generalized C() tests with nonstandard convergence rates
- The information matrix test for Gaussian mixtures
This page was built for publication: Testing the normality assumption in multivariate simultaneous limited dependent variable models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1099569)
