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

The paper considers the use of artiï¬cial regression in calculating diï¬€erent 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.

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Year of publication:	2014-10
Authors:	Holden, Darryl ; Perman, Roger
Institutions:	Economics Department, University of Strathclyde
Subject:	score test \| information matrix \| artificial regression

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published Number 1410 9 pages
Classification:	C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models ; C4 - Econometric and Statistical Methods: Special Topics ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010942734