Specification tests in ordered logit and probit models

Andrew Weiss

Econometric Reviews, 1997, vol. 16, issue 4, 361-391

Abstract: In this paper, I study the application of various specification tests to ordered logit and probit models with heteroskedastic errors, with the primary focus on the ordered probit model. The tests are Lagrange multiplier tests, information matrix tests, and chi-squared goodness of fit tests. The alternatives are omitted variables in the regression equation, omitted varaibles in the equation describing the heteroskedasticity, and non-logistic/non-normal errors. The alternative error distributions include a generalized logistic distribution in the ordered logit model and the Pearson family in the ordered.

Keywords: Lagrange multiplier; Information matrix; Chisquared (search for similar items in EconPapers)
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939708800394 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:16:y:1997:i:4:p:361-391

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939708800394

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().