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Information matrix (IM) test (White, 1982) has been used for detecting general model misspecification in the applied econometrics literature. Two of the most commonly used asymptotic covariance matrix estimators (ACMEs) for the IM test are the one that White (1982) proposed in his original paper...
Persistent link: https://www.econbiz.de/10005196411
In this note, I show that the ordered and sequential probit models are special cases of the multinomial probit model where the disturbance terms in the latent variables degenerate or those variances converge to zero at a certain rate.
Persistent link: https://www.econbiz.de/10005094890
In this note, I show that the ordered and sequential probit models are special cases of the multinomial probit model where the disturbance terms in the latent variables degenerate or those variances converge to zero at a certain rate.
Persistent link: https://www.econbiz.de/10010630002
Information matrix (IM) test (White, 1982) has been used for detecting general model misspecification in the applied econometrics literature. Two of the most commonly used asymptotic covariance matrix estimators (ACMEs) for the IM test are the one that White (1982) proposed in his original paper...
Persistent link: https://www.econbiz.de/10010630413