Elsevier

Journal of Econometrics

Volume 34, Issues 1–2, January–February 1987, Pages 105-123
Journal of Econometrics

Testing the normality assumption in multivariate simultaneous limited dependent variable models

https://doi.org/10.1016/0304-4076(87)90069-8Get rights and content

Abstract

A diagnostic for multivariate non-normality expressed as a multivariate Edgeworth distribution truncated at the fourth order is presented for a multivariate simultaneous equation system in normally distributed latent variables subject to a general censoring scheme. The information matrix test statistic also presented tests for multivariate non-normality and particular forms of multivariate heteroskedasticity and heterocliticity. Alternative C(α) tests are also suggested.

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    Part of the preparation of this paper was undertaken while the author was on sabbatical leave at Churchill College and the Faculty of Economics and Politics, Cambridge. The author would like to acknowledge and thank these institutions for their support and hospitality. Especial thanks are also owed to Marie Waite for her care and patience in typing this paper.

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