Re: [Gretl-users] pooled probit - normality test
On Fri, 13 May 2016, Jan Tille wrote:
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?
The test we use here is defined in Bera, Jarque and Lee, "Testing the
normality assumption in limited dependent variable models",
International Economic Review, 1984. I've now added a reference at
that point in the text.
Allin Cottrell