Convenient Specification Tests for Logit and Probit Models
We 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.
|Date of creation:||1982|
|Publication status:||Published in Journal of Econometrics, 25, 1984|
|Contact details of provider:|| Postal: Kingston, Ontario, K7L 3N6|
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Web page: http://qed.econ.queensu.ca/
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- Davidson, Russel & MacKinnon, James G., 1983.
"Small sample properties of alternative forms of the Lagrange Multiplier test,"
Elsevier, vol. 12(3-4), pages 269-275.
- Russell Davidson & James G. MacKinnon, 1981. "Small Sample Properties of Alternative Forms of the Lagrange Multiplier Test," Working Papers 439, Queen's University, Department of Economics.
- L. G. Godfrey & M. R. Wickens, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Oxford University Press, vol. 48(3), pages 487-496.
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