Michal Kvasnička
2013-May-29 06:29 UTC
[R] Distribution, heteroskedasticity etc. tests for glm, tobit and heckit?
Hallo. Is there any package / code snippet to test the distribution assumption, heteroskedasticity, omitted variables, and linearity with the models estimated by maximum likelyhood? I especially need it for three type of models: * binary choice (probit and probit with non-normal distribution) -- estimated by glm * tobit and tobit with non-normal distribution -- estimated by AER or any other suitable package * heckit and heckit with non-normal distribution To be more precise, when I estimate e.g. probit model, I should test that the random part in the data/model is normally distributed. If it was not, the parameter estimates may be biased. In the help and books I found how to estimate the parameters but not how to test the distribution assumption (and other assumptions stated above). Is there any package or code snippet, or do I need to derive the test for every distribution and model, and code it myself? Best wishes, Michal