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 | |
| Publication status | Published - 2015 Feb 1 |
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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 journal › Article
}
TY - JOUR
T1 - An LM test based on generalized residuals for random effects in a nonlinear model
AU - Greene, William
AU - Mckenzie, Colin R
PY - 2015/2/1
Y1 - 2015/2/1
N2 - 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.
AB - 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.
KW - LM test
KW - Panel data
KW - Probit
KW - Random effects
UR - http://www.scopus.com/inward/record.url?scp=84920964546&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84920964546&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2014.12.031
DO - 10.1016/j.econlet.2014.12.031
M3 - Article
VL - 127
SP - 47
EP - 50
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
ER -