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

William Greene and Colin McKenzie

Economics Letters, 2015, vol. 127, issue C, 47-50

Abstract: 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)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:127:y:2015:i:c:p:47-50

DOI: 10.1016/j.econlet.2014.12.031

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