English, Article, Journal or magazine article edition: Testing for omitted variables Jeroen Weesie

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Bookmark: http://trove.nla.gov.au/version/101681
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing for omitted variables
Author
  • Jeroen Weesie
Physical Description
  • preprint
Notes
  • Testing for omitted variables should play an important part in specification analyses of statistical "linear form" models. Such omissions may comprise terms in variables that were included themselves (e.g., a quadratic term, or a categorical specification instead of a metric one), interactions between variables in the model, and variables that were left out to begin with. Re-estimating models with additional variables and performing (for example) likelihood ratio tests is time-consuming. Score tests provide an attractive alternative, since the tests can be computed using only results from the model already estimated. We present a Stata command for performing score testing after most Stata estimation commands (e.g., logit, heckman, streg etc.). This command supports multiple-equation models, clustered observations, and adjusted p-values for simultaneous testing.
  • RePEc:boc:asug01:2.2
Language
  • English
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