Some Specification Tests for Probit Models Estimated on Panel Data
针对面板Probit模型，提出了广义得分检验和Wald检验，用于检测遗漏变量、多余变量、异方差、非正态性和随机系数变化等设定错误，并通过蒙特卡洛模拟和德国自雇就业数据分析验证了方法的有效性。
Generalized score and Wald tests are proposed to examine certain aspects of the specification of panel probit models. The procedures used to detect misspecifications, such as omitted and superfluous variables, heteroscedasticity, nonnormality, and random-coefficient variations, are designed specifically for the case in which 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.