The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models
In econometrics, most null hypotheses are composite, dividing the parameters into parameters of interest and nuisance parameters. The domain of the nuisance parameters can influence the size-corrected critical value and hence the power of a test. We show that the domain of the nuisance parameters determines which version of the LM test to use in logit and probit models.
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- Dagenais, Marcel G & Dufour, Jean-Marie, 1991.
"Invariance, Nonlinear Models, and Asymptotic Tests,"
Econometric Society, vol. 59(6), pages 1601-15, November.
- Russell Davidson & James G. MacKinnon, 1982.
"Convenient Specification Tests for Logit and Probit Models,"
514, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, vol. 25(3), pages 241-262, July.
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