Specification tests in ordered logit and probit models

Econometric Reviews

Volumn 16, Issue 4, 1997, Pages 361-391

  Weiss, Andrew A ^a  

^a VICTORIA UNIVERSITY OF WELLINGTON   (New Zealand)

Author keywords

Chisquared; Information matrix; Lagrange multiplier

Indexed keywords

EID: 0001032873     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474939708800394     Document Type: Article

References (20)

1. Albert, A., and Anderson, J. A., 1984. On the Existence of Maximum Like-lihood Estimates in Logistic Regression Models. Biometrika, 71: 1–10.
2. Amemiya, T., Advanced Econometrics, Cambridge: Harvard University Press.
3. Andrews, D. W. K., 1988. Chi-Squared Diagnostic Tests for Econometric Models: Theory. Econometrica, 56: 1419–1453.
4. Bera, Jarque, C. M., and Lee, L-F., 1984. Testing the Normality Assumption in Limited Dependent Variable Models. International Economic Review, 25: 563–578.
5. Chesher, A., 1984. Testing for Neglected Heterogeneity. Econometrica, 52: 865–872.
6. Chesher, A., 1987. Residual Analysis in the Grouped and Censored Normal Linear Model. Journal of Econometrics, 34: 33–61.
7. Davidson, R., and MacKinnon, J. G., 1983. Small Sample Properties of Alternative Forms of the Lagrange Multiplier Test. Econmies Letters, 12: 269–275.
8. Davidson, R., and MacKinnon, J. G., 1984. Convenient Specification Tests for Logit and Probit Models. Journal of Econometries, 25: 241–262.
9. Gourierox, C., Monfort, A., Renault, E., and Trognon, A., 1987. Generalised Residuals. Journal of Econometrics, 31: 5–32.
10. W. H. “ Econometric Analysis ”. In second edition, New York: Macmillan.
11. Johnson, N. L., and Kotz, S., Continuous Univariate Distributions-1, New York: Wiley.
12. Lancaster, T., 1984. The Covariance Matrix of the Information Matrix Test. Econometrica, 52: 1051–1053.
13. Moon, C -G., 1988. Simultaneous Specification Test in a Binary Logit Model: Skewness and Heteroscedasticity. Communications in Statistics - Theory and Methods, 17: 3361–3387.
14. Newey, W. K., 1985. Maximum Likelihood Specification Testing and Conditional Moment Tests. Econometrica, 53: 1047–1070.
15. Pagan, A., 1989. Diagnostic Tests for Models Based on Individual Data: A Survey. Journal of Applied Econometries, 4: 529–559.
16. Pratt, J. W., 1981. Concavity of the Log Likelihood. Journal of the American Statistical Association, 76: 103–106.
17. Ruud, P., 1984. Tests for Specification in Econometrics. Econometric Reviews, 3: 211–242.
18. Skells, C. L., and Vella, F., 1991. A Monte Carlo Investigation of the Performance of Conditional Moment Tests in Tobit and Probit Models. paper presented at the Australasian Meetings of the Econometric Society, 3
19. Weiss, A. A., 1987. The Effects of Helmet Use on the Severity of Head Injuries in Motorcycle Accidents. Journal of the American Statistical Association,: 48–56.
20. White, H., 1982. Maximum Likelihood Estimation in Misspecified Models. Econometrica, 50: 1–25.