Artificial regression based mis-specification tests for discrete choice models
Citation:
Murphy, Anthony. 'Artificial regression based mis-specification tests for discrete choice models'. - Economic & Social Review, Vol. 26, No. 1, October, 1994, pp. 69-74, Dublin: Economic & Social Research InstituteDownload Item:
26 oct 94 murphy.pdf (Published (publisher's copy) - Peer Reviewed) 205.1Kb
Abstract:
Lagrange Multiplier (LM) tests for omitted variables, neglected heteroscedasticity and
other mis-specifications in general discrete choice models may be simply and conveniently calculated using an artificial regression. This artificial regression approach is likely to have better small sample properties than the more common outer product gradient (OPG) form of LM test.
Author: Murphy, Anthony
Publisher:
Economic & Social StudiesType of material:
Journal ArticleCollections:
Availability:
Full text availableISSN:
0012-9984Licences: