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Goodness-of-fit measures in binary choice models

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Frank Windmeijer

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Abstract

In this paper, a review is given of various goodness-of-fit measures that have been proposed for the binary choice model in the last two decades. The relative behaviour of several pseudo-R2 measures is analysed in a series of misspecified binary choice models, the misspecification being omitted variables or an included irrelevant variable. A comparison is made with the OLS-R2 of the underlying latent variable model and with the squared sample correlation coefficient of the true and predicted probabilities. Further, it is investigated how the values of the measures change with a changing frequency rate of successes.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 14 (1995)
Issue (Month): 1 ()
Pages: 101-116
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Handle: RePEc:taf:emetrv:v:14:y:1995:i:1:p:101-116

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Related research
Keywords: Discrete Choice; Goodness Of Fit;

Cited by:
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  1. Judith A. Giles & Marsha J. Courchane, 2000. "Stratified Sample Design for Fair Lending Binary Logit Models," Econometrics Working Papers 0007, Department of Economics, University of Victoria. [Downloadable!]
  2. Judith Clarke & Marsha Courchane, 2004. "Implications of Stratified Sampling for Fair Lending Binary Logit Models," The Journal of Real Estate Finance and Economics, Springer, vol. 30(1), pages 5-31, October. [Downloadable!] (restricted)
  3. Linda Datcher Loury, 2004. "Teen Childbearing and Community Religiosity," Discussion Papers Series, Department of Economics, Tufts University 0405, Department of Economics, Tufts University. [Downloadable!]
  4. Teresa Aparicio, Inmaculada Villanua, 2001. "The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power," Journal of Applied Statistics, Taylor and Francis Journals, vol. 28(2), pages 167-182, February. [Downloadable!] (restricted)
  5. Martin Spiess, 2000. "Evaluation of a Pseudo-R2 Measure for Panel Probit Models," Discussion Papers of DIW Berlin 215, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  6. Pasi Huovinen & Petri Rouvinen, 2008. "Does Mass-media Fuel, and Easy Credit Facilitate, Impulse Buys?," Discussion Papers 1126, The Research Institute of the Finnish Economy. [Downloadable!]
  7. Belen Iraizoz & Sophia Davidova & Matthew Gorton, 2003. "Cosmetic or Cutting? The impact of the modulation of EU direct payments on farm profitability in the Navarra region of Spain," Others 0310002, EconWPA. [Downloadable!]
  8. Juan Zalduendo & Manuela Goretti & Bikas Joshi & Atish R. Ghosh & Alun H. Thomas, 2007. "Modeling Aggregate Use of Fund Resources--Analytical Approaches and Medium-Term Projections," IMF Working Papers 07/70, International Monetary Fund. [Downloadable!]
  9. Frank A. cowell & Emmanuel Flachaire & Sanghamitra Bandyopadhyay, 2009. "Goodness-of-Fit: An Economic Approach," Economics Series Working Papers 444, University of Oxford, Department of Economics. [Downloadable!]
  10. Fischer, Peter A. & Holm, Einar & Malmberg, Gunnar & Straubhaar, Thomas, 2000. "Why do People Stay? Insider Advantages and Immobility," Discussion Paper Series 26310, Hamburg Institute of International Economics. [Downloadable!]
  11. Arturo Estrella, 1997. "A new measure of fit for equations with dichotomous dependent variables," Research Paper 9716, Federal Reserve Bank of New York. [Downloadable!]
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