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BMST_help.txt
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*** Binary Model Specification Test package ***
This package comprises the following tests:
1) Test on no heteroskedasticity for both Logit and Probit models.
2) Test on the correct functional form (RESET type of test) for both
Logit and Probit models.
3) For Logit model test that the distribution is Logistic against
the alternative that is Burr Type 2 (and hence skewed).
Please ask questions and report bugs on the gretl mailing list if possible.
Alternatively, create an issue ticket on the github repo (see below).
Source code and test script(s) can be found here:
https://github.com/atecon/bsmt
----------------------------------
Details of the public functions
----------------------------------
1) binary_burr(): LM test of the null that the distribution
is Logistic against the alternative that is Burr
Type 2 (and hence skewed - to the left or to the right)
References:
* J. M. Thomas (1993), "On Testing the Logistic Assumption in Binary
Dependent Variable Models" Empirical Economics, 1993, 18:381-392
* D. J. Poirier (1980), " A Lagrange Multiplier Test for Skewness
in Binary Logit Models. Economics Letters", 5, 141-143
2) binary_homoskedasticity():
In the LM test for homoskedasticity, the form of the
skedastic function is taken to be exp(2Ztγ) where Zt
is the vector giving the t-th observation on the r
variables that are believed to give rise to the
heteroskedasticity.
3) binary_reset():
The LM test for functional form are similar to the
familiar "RESET test" for the standard linear OLS model.
References:
* Davidson, R. & J. G. MacKinnon (1984), "Convenient Specification
Tests for Logit and Probit Models", Journal of Econometrics 25,
241 262.
* Davidson, R. & J. G. MacKinnon (2004), Econometric Theory and
Methods, Oxford University Press, Oxford.
For more information see Dave Giles,
URL: http://web.uvic.ca/~dgiles/downloads/binary_choice/index.html
PUBLIC FUNCTIONS:
-----------------------------------------------------------------------
Function: binary_reset(const bundle model, const bool verbose)
Arguments
model: bundle, Returned model bundle after 'logit' or 'probit'
command which can be accessed via the $model accessor.
verbose: bool, Print test results (default: TRUE)
Return:
Bundle comprising the test statistics (key "test"), test's p-value
(key "pvalue") and error code ("error") with value 0 (=FALSE) if no
error occurred. If an error occurred the error code is 1 (=TRUE).
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Function: binary_homoskedasticity(const bundle model,
const bool verbose)
Arguments
model: bundle, Returned model bundle after 'logit' or 'probit'
command which can be accessed via the $model accessors.
verbose: bool, Print test results (default: TRUE)
Return:
Bundle comprising the test statistics (key "tes, test's p-value
(key "pvalue") and error code ("error") with value 0 (=FALSE) if no
error occurred. If an error occurred the error code is 1 (=TRUE).
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Function: binary_burr(const bundle model, const bool verbose)
Arguments
model: bundle, Returned model bundle after the 'logit' command
which can be accessed via the $model accessors.
verbose: bool, Print test results (default: TRUE)
Return:
Bundle comprising the test statistics (key "test"), test's p-value
(key "pvalue") and error code ("error") with value 0 (=FALSE) if no
error occurred. If an error occurred the error code is 1 (=TRUE).
-----------------------------------------------------------------------
CHANGELOG:
- 2.1, February 2021:
+ Drop missing values in both the endogenous and exogenous and print
a warning.
+ Return the error code (key "error" in returned bundle).
+ Minimum required version is now 2020b.
+ Minor refactoring.
- v2.0, September 2020:
+ Completely refactored.
+ New much simpler API.
+ Add unit-tests.
+ Required gretl version is now 2017d.
- v1.0, 2016:
+ Initial version.