The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models

N.E. Savin () and Allan Würtz
Additional contact information
N.E. Savin: University of Iowa

Working Papers from University of Iowa, Department of Economics

Abstract: In econometrics, most null hypotheses are composite, dividing the parameters into parameters of interest and nuisance parameters. The domain of the nuisance parameters can influence the size-corrected critical value and hence the power of a test. We show that the domain of the nuisance parameters determines which version of the LM test to use in logit and probit models.

Keywords: ECONOMIC MODELS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C10 C11 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models (1996)
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:uia:iowaec:96-05

Access Statistics for this paper

More papers in Working Papers from University of Iowa, Department of Economics University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242. Contact information at EDIRC.
Bibliographic data for series maintained by None ( this e-mail address is bad, please contact ).