Testing the Normality Assumption in the Sample Selection
Model with an Application to Travel Demand
Bas van der Klaauw
Ruud H. KoningJournal of Business and Economic Statistics 21, 31-42 (2003).
Abstract
In this paper we introduce a test for the normality
assumption in the sample selection model. The test is
based on a flexible parametric specification of the density
function of the error terms in the model. This specification
follows a Hermite series with bivariate normality as a special
case. All parameters of the model are estimated both under
normality and under the more general flexible
parametric specification, which allows to test for normality using
a standard likelihood ratio test. If normality is rejected, the
flexible parametric specification provides consistent parameter
estimates. The test has reasonable power, as is shown by a
simulation study. The test also detects some types of ignored
heteroskedasticity. Finally, we apply the flexible specification
of the density to a travel demand model, and we test for normality
in this model.
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the flexible parametric specification discussed in the paper)
Last updated: October, 24, 2001.