atecon / BMST

BMST -- Binary Model Specification Test package

This Gretl package comprises the following specifications tests for binary logit and probit models:

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).

Detailed help file

A detailed help file can be found here: https://github.com/atecon/BMST/blob/master/src/BMST_help.txt

Sample script

The sample script can be found here: https://github.com/atecon/BMST/blob/master/src/BMST_sample.inp

Unit-tests

The gretl script including unit-tests can be found under "./tests/run_tests.inp". The script can be executed through the shell script "./run_tests.sh".

Changelog:

v2.0, September 2020

• Completely refactored.
• New much simpler API.
• Add unit-tests.
• Required gretl version is now 2017d.

v1.0, 2016

• Initial version.

v0.5

• Joint package of separate functions.