Testing the normality assumption in multivariate simultaneous limited dependent variable models

DOI10.1016/0304-4076(87)90069-8zbMath0638.62110OpenAlexW1966980515MaRDI QIDQ1099569

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

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

Related Items (6)

Generalised residuals ⋮ Coherency and estimation in simultaneous models with censored or qualitative dependent variables ⋮ Bivariate non-normality in the sample selection model ⋮ A simple and effective misspecification test for the double-hurdle model ⋮ Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence ⋮ A test for bivariate normality with applications in microeconometric models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• The commutation matrix: Some properties and applications
• Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity
• Testing for Neglected Heterogeneity
• The Covariance Matrix of the Information Matrix Test
• The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model
• Testing the Normality Assumption in Limited Dependent Variable Models
• Tests for Serial Defendence in Limited Dependent Variable Models
• An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• The Elimination Matrix: Some Lemmas and Applications
• Specification and Estimation of a Simultaneous-Equation Model with Limited Dependent Variables
• The Estimation of a Simultaneous-Equation Tobit Model
• Some remarks on overdispersion
• End-of-Sample Instability Tests
• On methods of asymptotic approximation for multivariate distributions
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: Testing the normality assumption in multivariate simultaneous limited dependent variable models