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Artificial regression based mis-specification tests for discrete choice models

Anthony Murphy ()

No 199416, Working Papers from School of Economics, University College Dublin

Abstract: LM tests for omitted variables, neglected heteroscedasticity and other mis-specifications in general discrete choice models may be simply and conveniently calculated using an artificial regression. This artificial regression approach is likely to have better small sample properties than the more common outer product gradient (OPG) form of LM test.

Keywords: Discrete choice; LM mis-specification tests; Artificial regressions; Regression analysis; Econometrics--Mathematical models (search for similar items in EconPapers)
JEL-codes: C35 (search for similar items in EconPapers)
Date: 1994-07
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