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Biometrika 1982 69(1):161-166; doi:10.1093/biomet/69.1.161
© 1982 by Biometrika Trust
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Testing for dependence in multivariate probit models

NICHOLAS M. KIEFER

Department of Economics, Cornell University Ithaca, New York, U.S.A

A multivariate probit model is considered and the Lagrange multiplier or score statistic for testing independence is derived. The limiting distribution of the statistic takes a simple form under the null hypothesis and for local alternatives. The statistic is a natural generalization of Pearson's chi-squared for a 2 × 2 table. An example is given.

Key Words: Asymptotic test • Lagrange multiplier test • Score test


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[Abstract]


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