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,"
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- William F. Bassett & Mary Beth Chosak & John C. Driscoll & Egon Zakrajsek, 2012. "Changes in bank lending standards and the macroeconomy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-24, Board of Governors of the Federal Reserve System (U.S.).
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