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The convenient calculation of some test statistics in models of discrete choice

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  • Holden, Darryl
  • Perman, Roger

Abstract

The paper considers the use of artificial regression in calculating different types of score test when the log􀀀likelihood is based on probabilities rather than densities. The calculation of the information matrix test is also considered. Results are specialised to deal with binary choice (logit and probit) models.

Suggested Citation

  • Holden, Darryl & Perman, Roger, 2014. "The convenient calculation of some test statistics in models of discrete choice," SIRE Discussion Papers 2015-07, Scottish Institute for Research in Economics (SIRE).
    • Handle: RePEc:edn:sirdps:595
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    File URL: http://hdl.handle.net/10943/595
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    References listed on IDEAS

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    1. Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
    2. Murphy, Anthony, 2007. "Score tests of normality in bivariate probit models," Economics Letters, Elsevier, vol. 95(3), pages 374-379, June.
    3. Murphy, Anthony, 1996. "Simple LM tests of mis-specification for ordered logit models," Economics Letters, Elsevier, vol. 52(2), pages 137-141, August.
    4. Johnson, Paul A., 1996. "A test of the normality assumption in the ordered probit model," MPRA Paper 10080, University Library of Munich, Germany.
    5. Bera, Anil K & Jarque, Carlos M & Lee, Lung-Fei, 1984. "Testing the Normality Assumption in Limited Dependent Variable Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 563-578, October.
    6. P. Glewwe, 1997. "A test of the normality assumption in ordered probit model," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 1-19.
    7. Wilde, Joachim, 2008. "A simple representation of the Bera-Jarque-Lee test for probit models," Economics Letters, Elsevier, vol. 101(2), pages 119-121, November.
    8. Darryl Holden, 2004. "Testing the Normality Assumption in the Tobit Model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(5), pages 521-532.
    9. Orme, Christopher, 1988. "The Calculation of the Information Matrix Test for Binary Data Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 56(4), pages 370-376, December.
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    More about this item

    Keywords

    score test information matrix artificial regression;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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