Convenient specification tests for logit and probit models
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 25 (1984)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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- Godfrey, Lesley G & Wickens, Michael R, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Wiley Blackwell, vol. 48(3), pages 487-96, July.
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