An LM test based on generalized residuals for random effects in a nonlinear model

William Greene; Colin McKenzie

doi:10.1016/j.econlet.2014.12.031

An LM test based on generalized residuals for random effects in a nonlinear model

William Greene, Colin McKenzie

Faculty of Economics

Research output: Contribution to journal › Article

2 Citations (Scopus)

Abstract

We obtain an LM test for the random effects probit model. In the natural parameterization of the model the necessary derivatives are identically zero under the null hypothesis. After a reparameterization, the feasible LM test is based on generalized residuals.

Original language	English
Pages (from-to)	47-50
Number of pages	4
Journal	Economics Letters
Volume	127
DOIs	https://doi.org/10.1016/j.econlet.2014.12.031
Publication status	Published - 2015 Feb 1

Keywords

LM test
Panel data
Probit
Random effects

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2014.12.031

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Greene, W., & McKenzie, C. (2015). An LM test based on generalized residuals for random effects in a nonlinear model. Economics Letters, 127, 47-50. https://doi.org/10.1016/j.econlet.2014.12.031

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