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A test of the normality assumption in the ordered probit model

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  • Johnson, Paul A.

Abstract

This paper presents an easily implemented test of the assumption of a normally distributed error term for the ordered probit model. As this assumption is the central maintained hypothesis in all estimation and testing based on this model, the test ought to serve as a key specification test in applied research. A small Monte Carlo experiment suggests that the test has good size and power properties.

Suggested Citation

  • Johnson, Paul A., 1996. "A test of the normality assumption in the ordered probit model," MPRA Paper 10080, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:10080
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    File URL: https://mpra.ub.uni-muenchen.de/10080/2/MPRA_paper_10080.pdf
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    References listed on IDEAS

    as
    1. Bera, Anil K & Jarque, Carlos M & Lee, Lung-Fei, 1984. "Testing the Normality Assumption in Limited Dependent Variable Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 563-578, October.
    2. Becker, William E. & Kennedy, Peter E., 1992. "A Graphical Exposition of the Ordered Probit," Econometric Theory, Cambridge University Press, vol. 8(1), pages 127-131, March.
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    Cited by:

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    3. Darryl Holden & Roger Perman, 2014. "The convenient calculation of some test statistics in models of discrete choice," Working Papers 1410, University of Strathclyde Business School, Department of Economics.
    4. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
    5. Holden, Darryl & Perman, Roger, 2014. "The convenient calculation of some test statistics in models of discrete choice," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-07, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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    8. Mora, Juan & Moro-Egido, Ana I., 2008. "On specification testing of ordered discrete choice models," Journal of Econometrics, Elsevier, vol. 143(1), pages 191-205, March.

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    More about this item

    Keywords

    Ordered Probit; Normality; Lagrange Multiplier;
    All these keywords.

    JEL classification:

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

    Statistics

    Access and download statistics

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