Empirical Economics

, Volume 16, Issue 2, pp 177–198 | Cite as

Testing logit models in practice

  • M. Lechner


The aim of the paper is to provide the practioner with easily implementable procedures, both numerical and graphical, to test the specification of the dichotomous, linear-in-coefficents logit model. We discuss the performance of these asymptotic methods in small samples on the basis of Monte-Carlo simulations and apply them to a cross-section study of female labour supply in West Germany


Economic Theory Labour Supply Logit Model Asymptotic Method Female Labour 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Amemiya T (1981) Qualitative Response Models: A Survey. Journal of Economic Literatur 19:1483–1536Google Scholar
  2. Amemiya T (1985) Advanced Econometrics. OxfordGoogle Scholar
  3. Andrews DWK (1988a) Chi-square Diagnostic Tests for Econometric Models: Theory. Econometrica 56:1419–1453Google Scholar
  4. Andrews DWK (1988b) Chi-square Diagnostic Tests for Econometric Models: Introduction and Application. Journal of Econometrics 37:135–156Google Scholar
  5. Anderson GJ (1987) Prediction Tests in Limited Dependent Variable Models. Journal of Econometrics 34:253–261Google Scholar
  6. Bera AK, Jarque CM, Lee L (1984) Testing the Normality Assumption in Limited Dependent Variable Models. International Economic Review 25:563–578Google Scholar
  7. Chesher A (1983) The Information Matrix Test — Simplified Calculation Via a Score Test Interpretation. Economics Letters 13:45–48Google Scholar
  8. Chesher A (1984) Testing for Neglected Heterogeneity. Econometrica 52:865–872Google Scholar
  9. Chesher A, Irish M (1987) Residual Analysis in the Grouped and Censored Normal Linear Model. Journal of Econometrics 34:33–61Google Scholar
  10. Chesher A, Spady RH (1988) Asymptotic Expansions of the Information Matrix Test Statistic. Discussion Paper 88/206, University of BristolGoogle Scholar
  11. Dagsvik JK, Holst K, Strøm S, Wagenhals G, Østervold J (1988) Female Labor Supply in West Germany 1984. Discussion Paper 122, Universität HeidelbergGoogle Scholar
  12. Davidson R, MacKinnon JG (1984) Convenient Specification Tests for Logit and Probit Models. Journal of Econometrics 25:241–262Google Scholar
  13. Engle RF (1984) Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics. In: Griliches Z, Intriligator MD (ed) Handbook of Econometrics, Vol. 2, AmsterdamGoogle Scholar
  14. Gourieroux C, Monfort A, Renault E, Trognon A (1987a) Generalized Residuals. Journal of Econometrics 34:5–32Google Scholar
  15. Gourieroux C, Monfort A, Renault E, Trognon A (1987b) Simulated Residuals. Journal of Econometrics 34:201–252Google Scholar
  16. Laisney F, Lechner M, Strøm S, Niedergesäß A (1989) Female Labour Supply in France: Lessons from Specification Tests. Discussion Paper No. 33, Universität HeidelbergGoogle Scholar
  17. Lancaster T (1984) The Covariance Matrix of the Information Matrix Test. Econometrica 52:1051–1053Google Scholar
  18. Landwehr JM, Pregibon D, Shoemaker AC (1984) Graphical Methods for Assessing Logistic Regression Models. Journal of the American Statistical Association 79:61–83Google Scholar
  19. Manski CF (1975) Maximum Score Estimation of the Stochastic Utility Model of Choice. Journal of Econometrics 3:205–228Google Scholar
  20. Manski CF (1985) Semiparametric Analysis of Discrete Response. Journal of Econometrics 27:313–333Google Scholar
  21. Orme C (1988) The Calculation of the Information Matrix Test for Binary Data Models. The Manchester School 56:370–376Google Scholar
  22. Orme C (1989) The Small Sample Performance of the Information Matrix Test. mimeo, University of Nottingham and University of YorkGoogle Scholar
  23. Smith RJ (1988) On the Use of Distributional Misspecification Checks in Limited Dependent Variable Models. Discussion Papers in Econometrics and Social Statistics (ES203), University of ManchesterGoogle Scholar
  24. Taylor LW (1987) The Size Bias of White's Information Matrix Test. Economics Letters 24:63–67Google Scholar
  25. Vuong QH (1989) Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses. Econometrica 57:307–333Google Scholar
  26. White H (1982) Maximum Likelihood Estimation of Misspecified Models. Econometrica 50:1–25Google Scholar
  27. Wagenhals G (1989) Einkommensbesteuerung und Frauenerwerbstätigkeit. Diskussionsschrift Nr. 139, Universität HeidelbergGoogle Scholar

Copyright information

© Physica-Verlag 1991

Authors and Affiliations

  • M. Lechner
    • 1
  1. 1.Institut für Volkswirtschaftslehre und StatistikUniversität Mannheim A5Mannheim 1West Germany

Personalised recommendations