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Specification tests in ordered logit and probit models

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  • Andrew Weiss

Abstract

In 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.

Suggested Citation

  • Andrew Weiss, 1997. "Specification tests in ordered logit and probit models," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 361-391.
  • Handle: RePEc:taf:emetrv:v:16:y:1997:i:4:p:361-391
    DOI: 10.1080/07474939708800394
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    Citations

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    Cited by:

    1. Ruud H. Koning, 1999. "Competitive Balance in Dutch Soccer," Industrial Organization 9905001, EconWPA.
    2. Dobson, Stephen & Goddard, John, 2003. "Persistence in sequences of football match results: A Monte Carlo analysis," European Journal of Operational Research, Elsevier, vol. 148(2), pages 247-256, July.
    3. Juan Mora & Ana I. Moro, 2006. "Consistent Specification Test For Ordered Discrete Choice Models," Working Papers. Serie AD 2006-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    4. Audas, Rick & Dobson, Stephen & Goddard, John, 2002. "The impact of managerial change on team performance in professional sports," Journal of Economics and Business, Elsevier, vol. 54(6), pages 633-650.
    5. Ioannis Asimakopoulos & John Goddard, 2004. "Forecasting football results and the efficiency of fixed-odds betting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(1), pages 51-66.
    6. David Magaña-Lemus & Ariun Ishdorj & C. Parr Rosson & Jorge Lara-Álvarez, 2016. "Determinants of household food insecurity in Mexico," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 4(1), pages 1-20, December.
    7. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
    8. Mora, Juan & Moro-Egido, Ana I., 2008. "On specification testing of ordered discrete choice models," Journal of Econometrics, Elsevier, vol. 143(1), pages 191-205, March.

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