Specification tests in ordered logit and probit models
研究了在异方差误差下有序Logit和Probit模型的设定检验，包括拉格朗日乘子检验、信息矩阵检验和卡方拟合优度检验，并考虑了遗漏变量和非标准误差分布等替代情况。
In this paper, I study the application of various specification tests to ordered logit and probit models with heteroskedastic errors, with the primary focus on the ordered probit model. The tests are Lagrange multiplier tests, information matrix tests, and chi-squared goodness of fit tests. The alternatives are omitted variables in the regression equation, omitted varaibles in the equation describing the heteroskedasticity, and non-logistic/non-normal errors. The alternative error distributions include a generalized logistic distribution in the ordered logit model and the Pearson family in the ordered.