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Some Specification Tests for Probit Models Estimated on Panel Data

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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.
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 1-10-1995
journal Journal of Business & Economic Statistics
publisher American Statistical Association (Alexandria, Va.)
ISSN 0735-0015
ISSN (online) 1537-2707
volume of journal 13
number of issue 4
page(s) 475-488
review not reviewed
   
citation Lechner, M. (1995). Some Specification Tests for Probit Models Estimated on Panel Data. Journal of Business & Economic Statistics, 13(4), 475-488.