Abstract
We obtain an LM test for the random effects probit model. In the natural parameterization of the model the necessary derivatives are identically zero under the null hypothesis. After a reparameterization, the feasible LM test is based on generalized residuals.
Original language | English |
---|---|
Pages (from-to) | 47-50 |
Number of pages | 4 |
Journal | Economics Letters |
Volume | 127 |
DOIs | |
Publication status | Published - Feb 2015 |
Externally published | Yes |
Keywords
- LM test
- panel data
- probit
- random effects