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A simple LM test for zero correlation in the censored bivariate probit model

Author

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  • Anthony Murphy

Abstract

A simple artificial regression based on Lagrange Multiplier (LM) test for zero correlation in the censored bivariate probit model is derived. The outer product gradient form of the LM test is not used so the proposed test is likely to have good small sample properties.

Suggested Citation

  • Anthony Murphy, 1994. "A simple LM test for zero correlation in the censored bivariate probit model," Working Papers 199425, School of Economics, University College Dublin.
    • Handle: RePEc:ucn:wpaper:199425
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    File URL: http://hdl.handle.net/10197/1955
    File Function: First version, 1994
    Download Restriction: no
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    More about this item

    Keywords

    Censored bivariate probit model; Zero correlation; LM test; Artificial regression; Regression analysis; Probits; Econometrics--Mathematical models;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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