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.

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...

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...

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.