Some Specification Tests for Probit Models Estimated on Panel Data
Journal
Journal of Business & Economic Statistics
ISSN
0735-0015
ISSN-Digital
1537-2707
Type
journal article
Date Issued
1995-10-01
Author(s)
Abstract
Not available in German. Generalized score and Wald tests are proposed to test certain aspects of the specification of panel probit models. The procedures used to detect misspecifications, such as omitted and superfluous variables, heteroscedasticity, non-normality and random coefficient variations, are designed specifically for the case when the model is estimated by sequential methods. The finite sample distributions of the test statistics in correctly and incorrectly specified models are investigated by a Monte Carlo study. Applying the proposed procedures to the analysis of the determinants of self-employment in Germany shows that the suggested specification checks are useful instruments in applied work.
Language
English
HSG Classification
contribution to scientific community
Refereed
No
Publisher
American Statistical Association
Publisher place
Alexandria, Va.
Volume
13
Number
4
Start page
475
End page
488
Pages
14
Subject(s)
Eprints ID
15861