Non-normality as Distributional Misspecification in Single-Equation.

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 1987
Volume: 49
Issue: 4
Pages: 417-30

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper provides a reevaluation of often-used limited dependent variable models. It shows that parameter estimators based on such models may be seriously biased and inconsistent if the true d istribution of the disturbance term deviates from normality. The degr ee of difference from normality is controlled in this paper by varyin g the skewness and kurtosis of the true distribution-these are distri butional characteristics that an empirical researcher can easily chec k for himself. This paper proposes to alert users of limited dependen t variable models to the potential problems of these models in the fa ce of nonnormality. Copyright 1987 by Blackwell Publishing Ltd

Technical Details

RePEc Handle
repec:bla:obuest:v:49:y:1987:i:4:p:417-30
Journal Field
General
Author Count
1
Added to Database
2026-01-29