Tests for independence between categorical variables

Juan Sentana

Economics Letters, 2022, vol. 220, issue C

Abstract: I prove the numerical equivalence between Pearson’s independence test statistic for categorical variables and the Lagrange Multiplier and overidentifying restrictions test statistics in several popular linear and non-linear regression models. I also show that its asymptotically equivalent Likelihood Ratio test is numerically identical in the non-linear regression models, and that the heteroskedasticity-robust Wald test statistic in the multivariate linear probability model and the moment condition model coincide with the Wald test statistic in the conditional multinomial model. Finally, I show that all these equivalences also apply to serial independence tests in discrete Markov chains.

Keywords: Linear Probability Model; Logit; Overidentifying Restrictions; Probit (search for similar items in EconPapers)
JEL-codes: C25 C35 C57 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:220:y:2022:i:c:s016517652200324x

DOI: 10.1016/j.econlet.2022.110850

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