A simple representation of the Bera-Jarque-Lee test for probit models

Joachim Wilde

The inference in probit models relies on the assumption of normality. However, tests of this assumption are not implemented in standard econometric software. Therefore, the paper presents a simple representation of the Bera-Jarque-Lee test, that does not require any matrix algebra. Furthermore, the representation is used to compare the Bera-Jarque- Lee test with the RESET-type test proposed by Papke and Wooldridge (1996). -- probit model ; Lagrange multiplier test ; normality assumption ; artificial regression

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Year of publication:	2007
Other Persons:	Wilde, Joachim (contributor)
Publisher:	Halle (Saale) : Inst. für Wirtschaftsforschung
Subject:	Probit-Modell \| Probit model \| Statistischer Test \| Statistical test \| Theorie \| Theory

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Extent:	Online-Ressource, 11 S.=63 KB, Text
Series:	IWH-Diskussionspapiere. - Halle, S. : IWH, ISSN 2194-2188, ZDB-ID 2125062-5. - Vol. 2007,13
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zsfassungen in dt. und engl. Sprache
Other identifiers:	hdl:10419/29968 [Handle]
Classification:	C25 - Discrete Regression and Qualitative Choice Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003612985