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Score tests in microenometrics
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Orientador(es)
Resumo(s)
This thesis studies some aspects of the use of Score tests in the context of microeconometric models.
Chapter two proposes approximations to the change in the value of a Score test due to the deletion of one observation. The examples examined suggest that these measures are both accurate and easy to compute.
ln chapter three, the use of instrumental variables to construct tests to detect the need to transform variables is suggested. The tests obtained are simple to compute and can be performed without specifying the distribution of the errors of the model. Many well known tests can be interpreted as variants of the procedure proposed and using appropriate instruments it is possible to obtain optimal tests.
Chapter four is a note on the construction and interpretation of the Score test for neglected heterogeneity in the truncated regression model. The results obtained clarify the relation between severa! other misspecification tests for this model.
Chapter five is concerned with the detection of misspecification of the Multinomial Logit model (MNL). It is shown that the Score test for random parameter variation suggests an alternative specification that approximates choice probabilities of a MNL with random parameters. This approximation is independent of the form of the distribution of the parameters and can be used as a basis for inference in the presence of neglected heterogeneity.
The effects of neglected heterogeneity on the MNL and on the approximation to the MNL with random parameters are analysed in chapter six. Thesç results are complemented by a study of the test to detect random parameter variation. The results obtained indicate that the proposed approximation to the MNL with random parameters can reduce the effects of neglected heterogeneity and that some forms of the test considered can be very useful diagnostic tools.
Descrição
Ph.D. in Faculty of Social Science, Department of Economics
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Contexto Educativo
Citação
Silva, João Manuel Caravana Santos (1992). "Score tests in microenometrics
". Tese de Doutoramento, Universidade de Lisboa. Instituto Superior de Economia e Gestão.