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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Queen's Economics Department Working Paper ; No. 514
- Classification
-
Wirtschaft
Hypothesis Testing: General
- Subject
-
binary response model
LM test
logit
probit
- Event
-
Geistige Schöpfung
- (who)
-
Davidson, Russell
MacKinnon, James G.
- Event
-
Veröffentlichung
- (who)
-
Queen's University, Department of Economics
- (where)
-
Kingston (Ontario)
- (when)
-
1982
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Davidson, Russell
- MacKinnon, James G.
- Queen's University, Department of Economics
Time of origin
- 1982
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