The convenient calculation of some test statistics in models of discrete choice

Roger Perman, Darryl Holden

Research output: Working paperDiscussion paper

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Abstract

The paper considers the use of artificial regression in calculating different types of score test when the log-likelihood is based on probabilities rather than densities. The calculation of the information matrix test is also considered. Results are specialised to deal with binary choice (logit and probit) models.
Original languageEnglish
Place of PublicationGlasgow
PublisherUniversity of Strathclyde
Pages1-8
Number of pages8
VolumeDiscussion Paper 14-10
Publication statusPublished - Oct 2014

Publication series

NameStrathclyde Discussion Papers in Economics
PublisherStrathclyde University
No.14-10
Volume14-10

Keywords

  • score
  • test
  • information matrix
  • artificial regression

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  • Cite this

    Perman, R., & Holden, D. (2014). The convenient calculation of some test statistics in models of discrete choice. (pp. 1-8). (Strathclyde Discussion Papers in Economics; Vol. 14-10, No. 14-10). Glasgow: University of Strathclyde.