Testing the normality assumption in multivariate simultaneous limited dependent variable models

DOI10.1016/0304-4076(87)90069-8MaRDI QIDQ1099569zbMATH OpenOpenAlexFDO

Authors Richard J. Smith

Publication date 1987

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(87)90069-8

zbMATH Keywords

heteroskedasticitygeneral censoring schemeheterocliticitymultivariate Edgeworth distributionmultivariate simultaneous equation systemmultivariate simultaneous limited dependent variable modelstesting normalitytests for multivariate non- normality

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• 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

Cites work

• 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?)
• 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
• 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 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
• The commutation matrix: Some properties and applications

Cited in

(10)

• A simple and effective misspecification test for the double-hurdle model
• A test for bivariate normality with applications in microeconometric models
• Simultaneous multivariate tests under the normality assumption
• Testing normality of latent variables in the polychoric correlation
• Coherency and estimation in simultaneous models with censored or qualitative dependent variables
• Bivariate non-normality in the sample selection model
• Semiparametric Estimation of a Censored Regression Model Subject to Nonparametric Sample Selection
• Generalized \(C(\alpha)\) tests for estimating functions with serial dependence
• Testing the Normality Assumption in Limited Dependent Variable Models
• Generalised residuals

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)