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Some Specification Tests for Probit Models Estimated on Panel Data

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  • Lechner, Michael

Abstract

Generalized score and Wald tests are proposed to test certain aspects of the specification of panel probit models. The procedures used to detect misspecifications, such as omitted and superfluous variables, heteroscedasticity, nonnormality, and random coefficient variations, are designed specifically for the case when the model is estimated by sequential methods. The finite sample distributions of the test statistics in correctly and incorrectly specified models are investigated by a Monte Carlo study. Applying the proposed procedures to the analysis of the determinants of self-employment in Germany shows that the suggested specification checks are useful instruments in applied work.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 13 (1995)
Issue (Month): 4 (October)
Pages: 475-88

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Handle: RePEc:bes:jnlbes:v:13:y:1995:i:4:p:475-88

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Cited by:
  1. Ziegler, Andreas, 2002. "Simulated Classical Tests in the Multiperiod Multinomial Probit Model," ZEW Discussion Papers 02-38, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  2. Ulrich Kaiser & Andrea Szczesny, 2000. "Einfache oekonomische Verfahren fuer die Kreditrisikomessung," CoFE Discussion Paper 00-28, Center of Finance and Econometrics, University of Konstanz.
  3. Michael Lechner & Stefan Lollivier & Thierry Magnac, 2005. "Parametric Binary Choice Models," University of St. Gallen Department of Economics working paper series 2005 2005-23, Department of Economics, University of St. Gallen.
  4. Yuri Ostrovsky, 2002. "A Longitudinal Study of the Residential Mobility of the Elderly in Canada," Social and Economic Dimensions of an Aging Population Research Papers 78, McMaster University.
  5. Ostrovsky, Yuri, 2006. "A note on the performance of Bover-Arellano discrete choice dynamic estimators," Economics Letters, Elsevier, vol. 93(2), pages 272-277, November.
  6. Williams, Donald R., 2002. "Returns to education and experience in self-employment: Evidence from Germany," IRISS Working Paper Series 2002-04, IRISS at CEPS/INSTEAD.
  7. Michael Lechner & Jörg Breitung, 1996. "Estimation de modèles non linéaires sur données de panel par la méthode des moments généralisés," Économie et Prévision, Programme National Persée, vol. 126(5), pages 191-203.
  8. Munroe, Darla K. & Southworth, Jane & Tucker, Catherine M., 2002. "The dynamics of land-cover change in western Honduras: exploring spatial and temporal complexity," Agricultural Economics, Blackwell, vol. 27(3), pages 355-369, November.
  9. Bjornsen, Hild-Marte, 1999. "Off-farm labour decisions of Norwegian farm Households," ERSA conference papers ersa99pa025, European Regional Science Association.
  10. Wiji Arulampalam & Alison L. Booth, 2000. "Union status of young men in Britain: a decade of change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(3), pages 289-310.
  11. Georges Dionne & Olfa Ghali, 2005. "The (1992) Bonus-Malus System in Tunisia: An Empirical Evaluation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(4), pages 609-633.
  12. Inés Hardoy & Pål Schøne, 2014. "Does the impact of plant closure on labour market attachment differ between immigrants and native workers across the business cycle?," Empirical Economics, Springer, vol. 46(1), pages 229-252, February.
  13. Samy Ben Naceur and Mohamed Goaied, . "The Value Creation Process in the Tunisia Stock Exchange," API-Working Paper Series 9903, Arab Planning Institute - Kuwait, Information Center.

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