The convenient calculation of some test statistics in models of discrete choice

Darryl Holden and Roger Perman

No 2015-07, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: The paper considers the use of artificial regression in calculating different types of score test when the log􀀀likelihood is based on probabilities rather than densities. The calculation of the information matrix test is also considered. Results are specialised to deal with binary choice (logit and probit) models.

Keywords: score test information matrix artificial regression (search for similar items in EconPapers)
Date: 2014-10
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Working Paper: The convenient calculation of some test statistics in models of discrete choice (2014)
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