A New Measure of Fit for Equations with Dichotomous Dependent Variables
AbstractThe econometrics literature contains many alternative measures of goodness of fit, roughly analogous to R-squared, for use with equations with dichotomous dependent variables. There is, however, no consensus as to the measures' relative merits or about which ones should be reported in empirical work. This article proposes a new measure that possesses several useful properties that the other measures lack. The new measure may be interpreted intuitively in a similar way to R-squared in the linear regression context.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 16 (1998)
Issue (Month): 2 (April)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Arturo Estrella, 1997. "A new measure of fit for equations with dichotomous dependent variables," Research Paper 9716, Federal Reserve Bank of New York.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dhrymes, Phoebus J., 1986. "Limited dependent variables," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 27, pages 1567-1631 Elsevier.
- John G. Cragg & Russell S. Uhler, 1970. "The Demand for Automobiles," Canadian Journal of Economics, Canadian Economics Association, vol. 3(3), pages 386-406, August.
- Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
- Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
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