In various earlier posts I've commented on the need for conducting specification tests when working with Logit and Probit models. (For instance, see here, here, and here.)
Today I had an email from Artur Tarassow at the University of Hamburg. He wrote:
Thanks for this, Artur - I'm sure it will be very helpful to many readers of this blog.
One of the seminal references on this topic is Davidson and MacKinnon (1984). On my primary website, you can find a comprehensive list of other related references, together with EViews files that will enable you to conduct various specification tests with LDV models.
The link for that material is here.
The link for that material is here.
I know that you're already aware of the open-source econometric software called "Gretl".
I would like to let you know that I updated my package "LOGIT_HETERO.gfn". This package runs both the tests of homoskedasticity and correct functional form based on your nice program "Logit_hetero.prg" written for EViews.
If you want to have a look at it, simply run:
set echo off
set messages off
install LOGIT_HETERO.gfn
include LOGIT_HETERO.gfn
open http://web.uvic.ca/~dgiles/downloads/binary_choice/Logistic_Burr.wf1
logit Y 0 X1 X2
matrix M = LOGIT_HETERO(Y,$xlist,$coeff,1)
print M
Footnote: See Artur's comment below, and the more recent post here. In particular, note Artur's comment: As a note to your blog readers: The two Logit model related packages “logit_burr.gfn” and “LOGIT_HETERO.gfn” are not available any more, as BMST includes both of them.
Reference
Davidson, R. & J. G. MacKinnon, 1984. Convenient specification tests for logit and probit models. Journal of Econometrics, 25, 241 262.