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Consistent Specification Test For Ordered Discrete Choice Models

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  • Juan Mora

    ()
    (Universidad de Alicante)

  • Ana I. Moro

    (Universidad de Granada)

Abstract

We 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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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2006-17.pdf
File Function: Fisrt version / Primera version, 2006
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Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2006-17.

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Length: 48 pages
Date of creation: Jul 2006
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2006-17

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Keywords: Specification Tests; Ordered Discrete Choice Models; Statistical Simulation;

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  1. Horowitz, Joel L & Spokoiny, Vladimir G, 2001. "An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model against a Nonparametric Alternative," Econometrica, Econometric Society, vol. 69(3), pages 599-631, May.
  2. Murphy, Anthony, 1996. "Simple LM tests of mis-specification for ordered logit models," Economics Letters, Elsevier, vol. 52(2), pages 137-141, August.
  3. Charles Calhoun, 1989. "Estimating the Distribution of Desired Family Size and Excess Fertility," Journal of Human Resources, University of Wisconsin Press, vol. 24(4), pages 709-724.
  4. Roger W. Klein & Robert P. Sherman, 2002. "Shift Restrictions and Semiparametric Estimation in Ordered Response Models," Econometrica, Econometric Society, vol. 70(2), pages 663-691, March.
  5. J M C Santos Silva, 1996. "A Score Test for Non-nested Hypotheses with Applications to Discrete Data Models," Discussion Papers 96-28 ISSN 1350-6722, University College London, Department of Economics.
  6. J. S. Butler & Patrali Chatterjee, 1997. "Tests of the Specification of Univariate and Bivariate Ordered Probit," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 343-347, May.
  7. Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
  8. Rosa L. Matzkin, 1988. "Nonparametric and Distribution-Free Estimation of the Binary Choice and the Threshold-Crossing Models," Cowles Foundation Discussion Papers 889, Cowles Foundation for Research in Economics, Yale University.
  9. Donald W. K. Andrews, 1997. "A Conditional Kolmogorov Test," Econometrica, Econometric Society, vol. 65(5), pages 1097-1128, September.
  10. Andrew Weiss, 1997. "Specification tests in ordered logit and probit models," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 361-391.
  11. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March.
  12. Andrews, Donald W K, 1988. "Chi-Square Diagnostic Tests for Econometric Models: Theory," Econometrica, Econometric Society, vol. 56(6), pages 1419-53, November.
  13. Klein, Roger & Sherman, Robert, 1997. "Estimating new product demand from biased survey data," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 53-76.
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