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Artificial regression based LM tests of mis-specification for ordered probit models

Anthony Murphy ()

No 199420, Working Papers from School of Economics, University College Dublin

Abstract: Lagrange Multiplier (LM) tests for omitted variables, heteroscedasticity, incorrect functional form, and non-normality in the ordered probit model may be readily calculated using an artificial regression. The proposed artificial regression is both convenient and likely to have better small sample properties than the more common outer product gradient (OPG) form.

Keywords: Ordered probit; Lagrange multipier tests; Mis-specification; Artifical regression; Outer product gradient; Econometrics--Mathematical models; Regression analysis (search for similar items in EconPapers)
JEL-codes: C35 (search for similar items in EconPapers)
Date: 1994-10
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