You are not currently logged in.
Access your personal account or get JSTOR access through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Specification Error in Probit Models
Adonis Yatchew and Zvi Griliches
The Review of Economics and Statistics
Vol. 67, No. 1 (Feb., 1985), pp. 134-139
Published by: The MIT Press
Stable URL: http://www.jstor.org/stable/1928444
Page Count: 6
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
This paper examines the effects of various types of misspecification (left out variable, errors in variables, heteroskedastic errors incorrectly assumed to be homoskedastic) on the maximum likelihood (ML) and minimum chi-square (MC) estimators of the probit model. Various asymptotic bias formulae are derived. The chi-square goodness of fit test and the (Hausman) specification test are applied to the problems and found to be asymptotically equivalent. The asymptotic biases may be used to obtain the local power of the tests.
The Review of Economics and Statistics © 1985 The MIT Press