Efficient specification tests for limited dependent variable models

Carlos M. Jarque; Anil K. Bera

doi:10.1016/0165-1765(82)90007-6

Efficient specification tests for limited dependent variable models

Carlos M. Jarque, Anil K. Bera

Research output: Contribution to journal › Article › peer-review

Abstract

The procedure of Jarque and Bera (1980a, b), consisting of the application of the Lagrange Multiplier (LM) test to the Pearson Family of distributions, is used to derive efficient normality and/or homoscedasticity tests for limited dependent variable (LDV) models.

Original language	English (US)
Pages (from-to)	153-160
Number of pages	8
Journal	Economics Letters
Volume	9
Issue number	2
DOIs	https://doi.org/10.1016/0165-1765(82)90007-6
State	Published - 1982
Externally published	Yes

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/0165-1765(82)90007-6

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title = "Efficient specification tests for limited dependent variable models",

abstract = "The procedure of Jarque and Bera (1980a, b), consisting of the application of the Lagrange Multiplier (LM) test to the Pearson Family of distributions, is used to derive efficient normality and/or homoscedasticity tests for limited dependent variable (LDV) models.",

author = "Jarque, {Carlos M.} and Bera, {Anil K.}",

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AB - The procedure of Jarque and Bera (1980a, b), consisting of the application of the Lagrange Multiplier (LM) test to the Pearson Family of distributions, is used to derive efficient normality and/or homoscedasticity tests for limited dependent variable (LDV) models.

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DO - 10.1016/0165-1765(82)90007-6

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JO - Economics Letters

JF - Economics Letters

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Efficient specification tests for limited dependent variable models

Abstract

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