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The convenient calculation of some test statistics in models of discrete choice

Author

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  • Darryl Holden

    (Department of Economics, University of Strathclyde)

  • Roger Perman

    (Department of Economics, University of Strathclyde)

Abstract

The paper considers the use of artiï¬ cial regression in calculating different types of score test when the logâˆ'likelihood is based on probabilities rather than densities. The calculation of the information matrix test is also considered. Results are specialised to deal with binary choice (logit and probit) models.

Suggested Citation

  • Darryl Holden & Roger Perman, 2014. "The convenient calculation of some test statistics in models of discrete choice," Working Papers 1410, University of Strathclyde Business School, Department of Economics.
    • Handle: RePEc:str:wpaper:1410
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    References listed on IDEAS

    as
    1. Johnson, Paul A., 1996. "A test of the normality assumption in the ordered probit model," MPRA Paper 10080, University Library of Munich, Germany.
    2. Bera, Anil K & Jarque, Carlos M & Lee, Lung-Fei, 1984. "Testing the Normality Assumption in Limited Dependent Variable Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 563-578, October.
    3. Wilde, Joachim, 2008. "A simple representation of the Bera-Jarque-Lee test for probit models," Economics Letters, Elsevier, vol. 101(2), pages 119-121, November.
    4. Orme, Christopher, 1988. "The Calculation of the Information Matrix Test for Binary Data Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 56(4), pages 370-376, December.
    5. Murphy, Anthony, 2007. "Score tests of normality in bivariate probit models," Economics Letters, Elsevier, vol. 95(3), pages 374-379, June.
    6. Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
    7. Murphy, Anthony, 1996. "Simple LM tests of mis-specification for ordered logit models," Economics Letters, Elsevier, vol. 52(2), pages 137-141, August.
    8. P. Glewwe, 1997. "A test of the normality assumption in ordered probit model," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 1-19.
    9. Darryl Holden, 2004. "Testing the Normality Assumption in the Tobit Model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(5), pages 521-532.
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    More about this item

    Keywords

    score test; information matrix; artificial regression;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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