Consistent Specification Test For Ordered Discrete Choice Models
AbstractWe discuss how to test consistently the specification of an ordereddiscrete choice model. Two approaches are considered: tests based onconditional moment restrictions and tests based on comparisons betweenparametric and nonparametric estimations. Following these approaches,various statistics are proposed and their asymptotic properties are discussed.The performance of the statistics is compared by means of simulations. Avariant of the standard conditional moment statistic and a generalization ofHorowitz-Spokoiny’s statistic perform best.
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Bibliographic InfoPaper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2006-17.
Length: 48 pages
Date of creation: Jul 2006
Date of revision:
Publication status: Published by Ivie
Specification Tests; Ordered Discrete Choice Models; Statistical Simulation;
Find related papers by JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-08-05 (All new papers)
- NEP-DCM-2006-08-05 (Discrete Choice Models)
- NEP-ECM-2006-08-05 (Econometrics)
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