Efficient specification tests for limited dependent variable models

Carlos M. Jarque, Anil K. Bera

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Pages (from-to)153-160
Number of pages8
JournalEconomics Letters
Volume9
Issue number2
DOIs
StatePublished - 1982
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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