An LM test based on generalized residuals for random effects in a nonlinear model

William Greene, Colin Ross McKenzie

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6 Citations (Scopus)

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 languageEnglish
Pages (from-to)47-50
Number of pages4
JournalEconomics Letters
Volume127
DOIs
Publication statusPublished - Feb 2015
Externally publishedYes

Keywords

  • LM test
  • panel data
  • probit
  • random effects

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