Title

Testing For The Correct Error Term Distribution. A Simple Two-Step Test

Abstract

This paper presents a simple and easy to use test for selecting the appropriate model to estimate when the alternatives differ as to the distribution of their respective error terms: symmetric vs. skewed. The test is conducted in two steps, each employing a simple and time-honored test statistic and provides another tool in the spirit of the specification test literature. That is, this test permits the analyst to determine the correct characteristics of his model rather than assuming incorrect characteristics and, hence, drawing erroneous conclusions. © 1990.

Publication Date

1-1-1990

Publication Title

Economics Letters

Volume

34

Issue

4

Number of Pages

339-343

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/0165-1765(90)90142-N

Socpus ID

44949291963 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/44949291963

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