• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Summer School
      • Inequalities in Health and Healthcare
      • Research on Productivity, Trade, and Growth
      • Behavioral Macro and Complexity
      • Business Data Science Summer School Program
    • Events Archive
  • Summer School
    • Inequalities in Health and Healthcare
    • Research on Productivity, Trade, and Growth
    • Behavioral Macro and Complexity
  • Alumni
  • Times

van der Klaauw, B. and Koning, R. (2003). Testing the normality assumption in the sample selection model with an application to travel demand Journal of Business and Economic Statistics, 21:31--42.


  • Journal
    Journal of Business and Economic Statistics

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.