Dear list members,
I have a question regarding the normality test that is printed out if one estimates a
pooled probit model.
The user guide says it is a conditional moment test on skewness and kurtosis (p.285). The
next paragraph begins with "In this context $uhat...." and references to
Gourieroux et al. (1987).
I understand that the normality test is conducted using the generalized residuals. Is this
test also presented in their paper? If not, would it be possible to provide a reference?
Thanks in advance and best regards,
Jan