The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models
N.E. Savin () and
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N.E. Savin: University of Iowa
Working Papers from University of Iowa, Department of Economics
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
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Working Paper: The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:uia:iowaec:96-05
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