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A New Measure of Fit for Equations with Dichotomous Dependent Variables

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Author Info
Estrella, Arturo

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Abstract

The 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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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 16 (1998)
Issue (Month): 2 (April)
Pages: 198-205
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Handle: RePEc:bes:jnlbes:v:16:y:1998:i:2:p:198-205

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References listed on IDEAS
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.:
  1. Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. Frank Windmeijer, 1995. "Goodness-of-fit measures in binary choice models," Econometric Reviews, Taylor and Francis Journals, vol. 14(1), pages 101-116. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
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This page was last updated on 2009-11-22.


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