Specification tests in ordered logit and probit models
AbstractIn this paper, I study the application of various specification tests to ordered logit and probit models with heteroskedastic errors, with the primary focus on the ordered probit model. The tests are Lagrange multiplier tests, information matrix tests, and chi-squared goodness of fit tests. The alternatives are omitted variables in the regression equation, omitted varaibles in the equation describing the heteroskedasticity, and non-logistic/non-normal errors. The alternative error distributions include a generalized logistic distribution in the ordered logit model and the Pearson family in the ordered.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 16 (1997)
Issue (Month): 4 ()
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