A simple artificial regression based test of the goodness of fit of binarychoice models

Authors
Murphy, A
Citation
A. Murphy, A simple artificial regression based test of the goodness of fit of binarychoice models, OX B ECON S, 62(3), 2000, pp. 445
Citations number
7
Categorie Soggetti
Economics
Journal title
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
ISSN journal
03059049 → ACNP
Volume
62
Issue
3
Year of publication
2000
Database
ISI
SICI code
0305-9049(200007)62:3<445:ASARBT>2.0.ZU;2-D
Abstract
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.