[Limdep Nlogit List] Lin-Schmidt specification test

William Greene wgreene at stern.nyu.edu
Mon Apr 2 02:33:34 EST 2007


The Lin-Schmidt test is carried out automatically by the tobit estimator and
reported with the output.  See the example below.  The "LM test [df] for tobit"
is the Lin-Schmidt statistic.
/B. Greene

--> samp;1-1000$
--> crea;x=rnn(0,1);y=x+rnn(0,1);y=y!0$
--> tobit;lhs=y;rhs=one,x$
Normal exit from iterations. Exit status=0.

+---------------------------------------------+
| Limited Dependent Variable Model - CENSORED |
| Maximum Likelihood Estimates                |
| Model estimated: Apr 01, 2007 at 00:29:43PM.|
| Dependent variable                    Y     |
| Weighting variable                 None     |
| Number of observations             1000     |
| Iterations completed                  5     |
| Log likelihood function       -924.5842     |
| Number of parameters                  3     |
| Info. Criterion: AIC =          1.85517     |
|   Finite Sample: AIC =          1.85519     |
| Info. Criterion: BIC =          1.86989     |
| Info. Criterion:HQIC =          1.86076     |
| Threshold values for the model:             |
| Lower=     .0000     Upper=+infinity        |
| LM test [df] for tobit=      6.221[  2]     |
| Normality Test, LM    =      3.950[  2]     |
| ANOVA  based fit measure =    .372790       |
| DECOMP based fit measure =    .351665       |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Primary Index Equation for Model
 Constant|    -.04667054       .04444530    -1.050   .2937
 X       |    1.04982395       .04538063    23.134   .0000   -.02877702
---------+Disturbance standard deviation
 Sigma   |     .99211693       .03401179    29.170   .0000


************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************

----- Original Message -----
From: Mehmet Ali Ulubasoglu <ulubasoglu at yahoo.com>
Date: Sunday, April 1, 2007 7:27 am
Subject: [Limdep Nlogit List] Lin-Schmidt specification test

> Hello,
>  LIMDEP website informs that the software can run a Lin-Schmidt 
> specification test for tobit models 
> (http://www.limdep.com/programfeatures_modelestimation_censoring.shtml). I haven't been able to figure out how to run that test from the estimation window. Would anyone help about running that test?
>   
>  Regards,
>   
>  Mehmet Ulubasoglu
> 
> 
> 
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