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Score tests of normality in bivariate probit models

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  • Murphy, Anthony

Abstract

A relatively simple and convenient score test of normality in the bivariate probit model is derived. Monte Carlo simulations show that the small sample performance of the bootstrapped test is quite good. The test may be readily extended to testing normality in related models.
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Suggested Citation

  • Murphy, Anthony, 2007. "Score tests of normality in bivariate probit models," Economics Letters, Elsevier, vol. 95(3), pages 374-379, June.
    • Handle: RePEc:eee:ecolet:v:95:y:2007:i:3:p:374-379
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    References listed on IDEAS

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    1. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
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    4. Lee, Lung-Fei, 1984. "Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 52(4), pages 843-863, July.
    5. Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 29-59, Supplemen.
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    More about this item

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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