Testing the normality assumption in the sample selection model with an application to travel demand

B. van der Klauw, R.H. Koning

OnderzoeksoutputAcademicpeer review

33 Citaten (Scopus)


In this article 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 enables testing for normality using a standard likelihood ratio test. If normality is rejected, then 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 heteroscedasticity. Finally, we apply the flexible specification of the density to a travel demand model and test for normality in this model.

Originele taal-2English
Pagina's (van-tot)31-42
Aantal pagina's12
TijdschriftJournal of Business & Economic Statistics
Nummer van het tijdschrift1
StatusPublished - jan.-2003

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