The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models.

In econometrics, most null hypotheses are composite, dividing the parameters into parameters of interest and nuisance parameters. The domain of the nuisance parameters can influence the size-corrected critical value and hence the power of a test. We show that the domain of the nuisance parameters determines which version of the LM test to use in logit and probit models.

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Year of publication:	1996
Authors:	Savin, N.E. ; Wurtz, A.
Institutions:	Department of Economics, Tippie College of Business
Subject:	ECONOMIC MODELS \| ECONOMETRICS

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	23 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C11 - Bayesian Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005755366