[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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