Further Applications of Johnson's SU-normal Distribution to Various Regression Models

Title & Authors
Further Applications of Johnson's SU-normal Distribution to Various Regression Models
Choi, Pilsun; Min, In-Sik;

Abstract
This study discusses Johnson's $\small{S_U}$-normal distribution capturing a wide range of non-normality in various regression models. We provide the likelihood inference using Johnson's $\small{S_U}$-normal distribution, and propose a likelihood ratio (LR) test for normality. We also apply the $\small{S_U}$-normal distribution to the binary and censored regression models. Monte Carlo simulations are used to show that the LR test using the $\small{S_U}$-normal distribution can be served as a model specification test for normal error distribution, and that the $\small{S_U}$-normal maximum likelihood (ML) estimators tend to yield more reliable marginal effect estimates in the binary and censored model when the error distributions are non-normal.ࠀ䀀@ࠀࠀЀက ࠀЀĀကĀ ကȀЀЀȀࠀ@ @
Keywords
$\small{S_U}$-normal distribution;skewness and kurtosis;normality test;
Language
English
Cited by
1.
Analysis of time headway distribution on suburban arterial, KSCE Journal of Civil Engineering, 2012, 16, 4, 644
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