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

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.

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Year of publication:	2015
Authors:	Greene, William ; McKenzie, Colin
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 127.2015, C, p. 47-50
Publisher:	Elsevier
Subject:	LM test \| Panel data \| Probit \| Random effects

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Type of publication:	Article
Classification:	C23 - Models with Panel Data ; C25 - Discrete Regression and Qualitative Choice Models ; I11 - Analysis of Health Care Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189539