Premium
A Simple Artificial Regression Based Test of the Goodness of Fit of Binary Choice Models
Author(s) -
Murphy Anthony
Publication year - 2000
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/1468-0084.00180
Subject(s) - goodness of fit , statistics , mathematics , test statistic , statistic , simple (philosophy) , simple linear regression , binary number , regression analysis , econometrics , statistical hypothesis testing , philosophy , arithmetic , epistemology
A test of the goodness of fit of a binary choice model is derived using the conditional moment testing approach. The test statistic may be calculated as the explained sum of squares or N:R 2 in a simple artificial regression. The test statistic has reasonably good small sample properties since it is not based on the outer product gradient (OPG) form.