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Asymptotic Properties of Predicted Probabilities in Discrete Regression

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  • J.S. Cramer

    ()
    (University of Amsterdam)

Abstract

The 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 Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 00-006/4.

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Date of creation: 10 Feb 2000
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Handle: RePEc:dgr:uvatin:20000006

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Web page: http://www.tinbergen.nl

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Cited by:
  1. 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 2012-24, Board of Governors of the Federal Reserve System (U.S.).

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