Re: [Gretl-users] pooled probit - normality test
Allin,
thank you very much.
Best,
Jan
-----Ursprüngliche Nachricht-----
Von: Plus.line MailSystem [mailto:cyrus@mailer.plusline.de] Im Auftrag von Allin Cottrell
Gesendet: Freitag, 13. Mai 2016 16:30
An: Gretl list <gretl-users(a)lists.wfu.edu>
Betreff: 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
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users