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Convenient Specification Tests for Logit and Probit Models

Author

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  • Russell Davidson
  • James G. MacKinnon

Abstract

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.

Suggested Citation

  • Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
  • Handle: RePEc:qed:wpaper:514
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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_514.pdf
    File Function: First version 1982
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    References listed on IDEAS

    as
    1. 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.
    2. Davidson, Russel & MacKinnon, James G., 1983. "Small sample properties of alternative forms of the Lagrange Multiplier test," Economics Letters, Elsevier, vol. 12(3-4), pages 269-275.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    binary response model; LM test; logit; probit;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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