Asymptotic Properties of Predicted Probabilities in Discrete Regression
AbstractThe discrete outcome of a probability model is recordedas Y(i)=1 while otherwise Y(i)=0. y is the vector of observedoutcomes, p the corresponding probabilities, p^a consistent estimate of p, and residuals are defined ase = y - p^. Under quite general conditions, theasymptotic properties of p^ ensure that these residualshave zero mean and are uncorrelated with p^. Theseasymptotic results extend to the multinomial case. Theysupport certain measures of fit for discrete models.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 00-006/4.
Date of creation: 10 Feb 2000
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- NEP-ALL-2000-03-13 (All new papers)
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- Bassett, William F. & Chosak, Mary Beth & Driscoll, John C. & Zakrajšek, Egon, 2014. "Changes in bank lending standards and the macroeconomy," Journal of Monetary Economics, Elsevier, vol. 62(C), pages 23-40.
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