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.
|Place of Publication||Glasgow|
|Publisher||University of Strathclyde|
|Number of pages||8|
|Volume||Discussion Paper 14-10|
|Publication status||Published - Oct 2014|
|Name||Strathclyde Discussion Papers in Economics|
- information matrix
- artificial regression
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.