An LM test based on generalized residuals for random effects in a nonlinear model
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.
Citation
Greene, W. and McKenzie, C. 2015. An LM test based on generalized residuals for random effects in a nonlinear model. Economics Letters. 127: pp. 47-50.
Source Title
Economics Letters
ISSN
School
School of Economics and Finance