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

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Title: Artificial regression based LM tests of mis-specification for ordered probit models
Authors: Murphy, Anthony
Permanent link: http://hdl.handle.net/10197/1763
Date: Oct-1994
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.
Type of material: Working Paper
Publisher: University College Dublin. School of Economics
Keywords: Ordered probitLagrange multipier testsMis-specificationArtifical regressionOuter product gradient
Subject LCSH: Econometrics--Mathematical models
Regression analysis
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Economics Working Papers & Policy Papers

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