An LM test based on generalized residuals for random effects in a nonlinear model
William Greene () and
Economics Letters, 2015, vol. 127, issue C, 47-50
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.
Keywords: LM test; Panel data; Probit; Random effects (search for similar items in EconPapers)
JEL-codes: C23 C25 I11 (search for similar items in EconPapers)
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