Arbeitspapier
Convenient Specification Tests for Logit and Probit Models
We propose several Lagrange Multiplier tests of logit and probit models, which may be inexpensively computed by artificial linear regressions. These may be used to test for omitted variables and heteroskedasticity. We argue that one of these tests is likely to have better small-sample properties, supported by several sampling experiments. We also investigate the power of the tests against local alternatives. The analysis is novel because we do not require that the model which generated the data be the alternative against which the null is tested.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 514
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
- Thema
-
binary response model
LM test
logit
probit
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Davidson, Russell
MacKinnon, James G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
1982
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Davidson, Russell
- MacKinnon, James G.
- Queen's University, Department of Economics
Entstanden
- 1982
Ähnliche Objekte (12)
Specification test on mixed logit models
Identification and Decompositions in Probit and Logit Models
A Bayesian mixed logit-probit model for multinomial choice
Relaxing the IIA Assumption in Locational Choice Models: A Comparison Between Conditional Logit, Mixed Logit, and Multinomial Probit Models
Simple logit and probit marginal effects in R
Betit: A Family That Nests Probit and Logit
An Extension of the Blinder-Oaxaca Decomposition Technique to Logit and Probit Models
An extension of the Blinder-Oaxaca decomposition technique to logit and probit models
Specification Tests for The Multinomial Logit Model Revisited: The Role of Alternative-Specific Constants
Simulated z-tests in multinomial probit models
Simulated z-Tests in Multinomial Probit Models
Einfache ökonometrische Verfahren für die Kreditrisikomessung: Logit- und Probit-Modelle
Specification test on mixed logit models
Identification and Decompositions in Probit and Logit Models
A Bayesian mixed logit-probit model for multinomial choice
Relaxing the IIA Assumption in Locational Choice Models: A Comparison Between Conditional Logit, Mixed Logit, and Multinomial Probit Models
Simple logit and probit marginal effects in R
Betit: A Family That Nests Probit and Logit
An Extension of the Blinder-Oaxaca Decomposition Technique to Logit and Probit Models
An extension of the Blinder-Oaxaca decomposition technique to logit and probit models
Specification Tests for The Multinomial Logit Model Revisited: The Role of Alternative-Specific Constants
Simulated z-tests in multinomial probit models
Simulated z-Tests in Multinomial Probit Models
Einfache ökonometrische Verfahren für die Kreditrisikomessung: Logit- und Probit-Modelle
Specification test on mixed logit models
Identification and Decompositions in Probit and Logit Models
A Bayesian mixed logit-probit model for multinomial choice
Relaxing the IIA Assumption in Locational Choice Models: A Comparison Between Conditional Logit, Mixed Logit, and Multinomial Probit Models
Simple logit and probit marginal effects in R
Betit: A Family That Nests Probit and Logit
An Extension of the Blinder-Oaxaca Decomposition Technique to Logit and Probit Models
An extension of the Blinder-Oaxaca decomposition technique to logit and probit models
Specification Tests for The Multinomial Logit Model Revisited: The Role of Alternative-Specific Constants
Simulated z-tests in multinomial probit models
Simulated z-Tests in Multinomial Probit Models