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Testing for normality in censored regressions
Department of Economics, Umeå University, Umeå, Sweden.ORCID iD: 0000-0002-0445-5403
1999 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 28, no 7, p. 1635-1651Article in journal (Refereed) Published
Abstract [en]

This paper derives a Lagrange Multiplier test for normality in censored regressions. The test is derived against the generalized log-gamma distribution, in which normal is a special case. The resulting test statistic coincides to some extent with previously suggested score and conditional moment tests. Estimation of the variance is performed by using the matrix of second order derivatives in order to get an easy to use test statistic. Small sample performance of the test is studied and compared to other tests by Monte Carlo experiments.

Place, publisher, year, edition, pages
Marcel Dekker, 1999. Vol. 28, no 7, p. 1635-1651
Keywords [en]
generalized log-gamma distribution; Lagrange Multiplier test, limited; dependent variable model
National Category
Mathematics
Identifiers
URN: urn:nbn:se:oru:diva-61391DOI: 10.1080/03610929908832377ISI: 000080777700008Scopus ID: 2-s2.0-28244481892OAI: oai:DiVA.org:oru-61391DiVA, id: diva2:1148323
Available from: 2017-10-10 Created: 2017-10-10 Last updated: 2017-10-10Bibliographically approved

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Karlsson, Niklas

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