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