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Consistent Specification Test For Ordered Discrete Choice Models

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Author Info
Juan Mora () (Universidad de Alicante)
Ana I. Moro (Universidad de Granada)

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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
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File Function: Fisrt version / Primera version, 2006
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Publisher 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
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Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2006-17

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Related research
Keywords: 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
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Klein, Roger & Sherman, Robert, 1997. "Estimating new product demand from biased survey data," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 53-76. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. Andrew Weiss, 1997. "Specification tests in ordered logit and probit models," Econometric Reviews, Taylor and Francis Journals, vol. 16(4), pages 361-391. [Downloadable!] (restricted)
  4. Murphy, Anthony, 1996. "Simple LM tests of mis-specification for ordered logit models," Economics Letters, Elsevier, vol. 52(2), pages 137-141, August. [Downloadable!] (restricted)
  5. Donald W. K. Andrews, 1997. "A Conditional Kolmogorov Test," Econometrica, Econometric Society, vol. 65(5), pages 1097-1128, September.
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  6. Andrews, Donald W K, 1988. "Chi-Square Diagnostic Tests for Econometric Models: Theory," Econometrica, Econometric Society, vol. 56(6), pages 1419-53, November. [Downloadable!] (restricted)
  7. J. M. C. Santos Silva, 2001. "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 577-597. [Downloadable!]
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  8. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March. [Downloadable!] (restricted)
  9. 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.
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