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Artificial regression based LM test of mis-specification for ordered logit models

Author

Listed:
  • Anthony Murphy

Abstract

Lagrange Multiplier tests for omitted variables , heteroscedasticity, incorrect functional form and asymmetry in the ordered logit model may be readily calculated using an artificial regression. The proposed artificial regression is both convenient and likely to have better small sample properties than the more common outer product gradient based artificial regression.

Suggested Citation

  • Anthony Murphy, 1994. "Artificial regression based LM test of mis-specification for ordered logit models," Working Papers 199428, School of Economics, University College Dublin.
  • Handle: RePEc:ucn:wpaper:199428
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    File URL: http://hdl.handle.net/10197/1769
    File Function: First version, 1994
    Download Restriction: no
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    More about this item

    Keywords

    Ordered logit; Lagrange multiplier test; Artificial regression; Econometrics--Mathematical models; Regression analysis;
    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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