Construct the Lagrange multiplier statistic for testing the hypothesis that all the slopes (but not the constant
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Construct the Lagrange multiplier statistic for testing the hypothesis that all the slopes (but not the constant term) equal zero in the binomial logit model. Prove that the Lagrange multiplier statistic is n R2 in the regression of (yi = p) on the x’s, where p is the sample proportion of 1s.
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The derivatives of the log likelihood are given in 1718 and 1721 If all coefficients except the con...View the full answer
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