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Joint ML estimation of normal and logit model (-mtreatreg- ,user written command), violation of gaussian noise assumption
Joint ML estimation of normal and logit model (-mtreatreg- ,user written command), violation of gaussian noise assumption

Dear Statalist,

I want to estimate the endogenous multinomial treatment model proposed by Deb and Trivedi (2006) with the user written command mtreatreg that builds upon the paper.
Specifically, I have a continous outcome variable with an endogenous multinomial treatment variable. I specifyed the outcome as normal - therefore the assumption is that the errors are normally distributed. However, when looking at residuals they show excess kurtosis (but are symmetric) and a Shapiro Wilk test shows that they are not normally distributed. How will this impact my result?

Kind regards,
Hel

BJ Data Tech Solution

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