In econometrics, most null hypotheses are composite, dividing the parameters into parameters of interest and nuisance parameters. The domain of the nuisance parameters can influence the size-corrected critical value and hence the power of a test. We show that the domain of the nuisance parameters determines which version of the LM test to use in logit and probit models.
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Paper provided by University of Iowa, Department of Economics in its series Working Papers with number
96-05.
Length: 23 pages Date of creation: 1996 Date of revision: Handle: RePEc:uia:iowaec:96-05
Contact details of provider: Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242 Phone: (319) 335-0829 Fax: (319) 335-1956 Web page: http://tippie.uiowa.edu/economics/ More information through EDIRC
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Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
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