[Gretl-devel] Re: $test accessor after biprobit
On Fri, 30 Oct 2020, Sven Schreiber wrote:
Am 27.10.2020 um 14:44 schrieb Sven Schreiber:
>
> Somewhat related: The printed test result is the same whether or not the
> --robust option is chosen for the biprobit command. Now I see that the
> test is LR and as such of course doesn't use the VCVs. But is it
> actually valid for example under heteroskedastic errors? If not, perhaps
> it shouldn't be carried out then.
>
ping - somebody have an opinion about this?
The LR test is the traditional way of checking the independence
hypothesis, but I have no idea if it's statistically tenable in the
context of QML estimation. On the other hand, its is relatively simple to
set up a (pseudo) Wald test for the same hypothesis. I'll have a look at
this.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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