Testing the normality assumption in multivariate simultaneous limited dependent variable models
type: Item
instance of: scholarly article
title: Testing the normality assumption in multivariate simultaneous limited dependent variable models
zbMATH Open document ID: 0638.62110
DOI: 10.1016/0304-4076(87)90069-8
author: Richard J. Smith
published in: Journal of Econometrics
publication date: 1987-01-01T00:00:00Z
review text: 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)].
reviewed by: Vidal Cohen
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62J05
zbMATH DE Number: 4041126
zbMATH Keywords: testing normality
zbMATH Keywords: multivariate simultaneous limited dependent variable models
zbMATH Keywords: multivariate Edgeworth distribution
zbMATH Keywords: multivariate simultaneous equation system
zbMATH Keywords: general censoring scheme
zbMATH Keywords: tests for multivariate non- normality
zbMATH Keywords: heteroskedasticity
zbMATH Keywords: heterocliticity
MaRDI profile type: Publication
full work available at URL: 0304-4076(87)90069-8
OpenAlex ID: W1966980515
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description: scientific article; zbMATH DE number 4041126