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
Authors:	Wilde, Joachim
Publisher:	Halle (Saale) : Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
Subject:	Probit-Modell \| Statistischer Test \| Theorie \| probit model \| Lagrange multiplier test \| normality assumption \| artificial regression

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Series:	IWH Discussion Papers ; 13/2007
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	55727219X [GVK] hdl:10419/29968 [Handle] RePEc:zbw:iwhdps:iwh-13-07 [RePEc]
Classification:	C25 - Discrete Regression and Qualitative Choice Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010269965