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

William Greene, Colin R Mckenzie

Research output: Contribution to journalArticle

1 Citation (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 languageEnglish
Pages (from-to)47-50
Number of pages4
JournalEconomics Letters
Volume127
DOIs
Publication statusPublished - 2015 Feb 1

Fingerprint

Random effects
LM test
Derivatives
Probit model
Random effects probit

Keywords

  • LM test
  • Panel data
  • Probit
  • Random effects

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

An LM test based on generalized residuals for random effects in a nonlinear model. / Greene, William; Mckenzie, Colin R.

In: Economics Letters, Vol. 127, 01.02.2015, p. 47-50.

Research output: Contribution to journalArticle

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