Artificial regression based mis-specification tests for discrete choice models
Anthony Murphy ()
No 199416, Working Papers from School of Economics, University College Dublin
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)
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http://hdl.handle.net/10197/1760 First version, 1994 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:ucn:wpaper:199416
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