A Simple Representation of the Bera-Jarque-Lee Test for Probit Models

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).

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Year of publication:	2007-12
Authors:	Wilde, Joachim
Institutions:	Institut für Wirtschaftsforschung Halle (IWH)
Subject:	probit model \| Lagrange multiplier test \| normality assumption \| artificial regression

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Extent:	application/pdf
Series:	IWH Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 13
Classification:	C25 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005232580