pooled probit - normality test
- First Post
- Replies
- Stats
-
Go to
- ----- 2024 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2023 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2022 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2021 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2020 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2019 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2018 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2017 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2016 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2015 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2014 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2013 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2012 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2011 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2010 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2009 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2008 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2007 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2006 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2005 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2004 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
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
Attachments:
- attachment.html (text/html — 2.7 KB)
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
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
3149
days inactive
3149
days old
2 comments
2 participants
tags (0)
participants (2)
-
Allin Cottrell -
Jan Tille