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On the Use of Distributional Mis-specification Checks in Limited Dependent Variable Models

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  • Smith, Richard J

Abstract

A unified approach to testing for distributional misspecification in parametric limited dependent variable models is described and discussed. The approach involves examining the significance of certain moment-type expressions. A form of the test statistic may be obtained as nR(superscript)2 from a simple least squares regression. The procedure is sufficiently general to subsume several tests already described in the literature for particular limited dependent variable models, but to have a wider applicability. Two practical examples, binary choice and duration analysis, are provided both to motivate the procedure and to illustrate the implementation of the methodology. Copyright 1989 by Royal Economic Society.

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  • Smith, Richard J, 1989. "On the Use of Distributional Mis-specification Checks in Limited Dependent Variable Models," Economic Journal, Royal Economic Society, vol. 99(395), pages 178-192, Supplemen.
    • Handle: RePEc:ecj:econjl:v:99:y:1989:i:395:p:178-92
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    Cited by:

    1. James Mitchell & Richard J. Smith & Martin R. Weale, 2002. "Quantification of Qualitative Firm-Level Survey Data," Economic Journal, Royal Economic Society, vol. 112(478), pages 117-135, March.
    2. Esmeralda A. Ramalho & Joaquim J. S. Ramalho & José M. R. Murteira, 2014. "A Generalized Goodness-of-functional Form Test for Binary and Fractional Regression Models," Manchester School, University of Manchester, vol. 82(4), pages 488-507, July.
    3. Pigini Claudia, 2015. "Bivariate Non-Normality in the Sample Selection Model," Journal of Econometric Methods, De Gruyter, vol. 4(1), pages 123-144, January.
    4. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    5. Murphy, Anthony, 1996. "Simple LM tests of mis-specification for ordered logit models," Economics Letters, Elsevier, vol. 52(2), pages 137-141, August.
    6. Heinz König & Michael Lechner, 1994. "Some Recent Developments in Microeconometrics - A Survey," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 299-331, September.
    7. P. Glewwe, 1997. "A test of the normality assumption in ordered probit model," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 1-19.
    8. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(4), pages 535-572, November.
    9. Teresa Aparicio & Inmaculada Villanua, 2001. "The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(2), pages 167-182.
    10. Mora Rodriguez, Jhon James, 2013. "Introduccion a la teoría del consumidor [Introduction to Consumer Theory]," MPRA Paper 48129, University Library of Munich, Germany, revised 08 Jul 2013.

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