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The convenient calculation of some test statistics in models of discrete choice

Perman, Roger and Holden, Darryl (2014) The convenient calculation of some test statistics in models of discrete choice. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

The paper considers the use of artificial regression in calculating different types of score test when the log-likelihood is based on probabilities rather than densities. The calculation of the information matrix test is also considered. Results are specialised to deal with binary choice (logit and probit) models.