Logistic regressions are commonly used to assess for fair lending across groups of loan applicants. This paper considers estimation of the disparate treatment parameter when the sample is stratified jointly by loan outcome and race covariate. We use Monte Carlo analysis to investigate the finite-sample properties of two estimators of the disparate treatment parameter under six stratified sampling designs and three data generating processes; one estimator is consistent irrespective of sample design while the other is not. Unfortunately the inconsistent estimator is employed inadvertently in fair lending studies. We demonstrate the gains in using the consistent estimator as well as providing recommendations on sample design. We also study the effect of sample design on the empirical power of a test for statistical significance of the disparate treatment parameter. We recommend adopting a sample design that approximately balances by outcome and racial group, when using the estimator that adjusts for the stratification scheme. However, if the standard logit estimator is employed, then our results suggest a sample design that balances by outcome and allocates across racial groups proportionally to the population. Though our study is framed in terms of fair lending applications, our results apply generally to the estimation of logistic regressions that use stratified or choice-based sample designs.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number
0007.
Length: 44 pages Date of creation: 30 Jul 2000 Date of revision: Handle: RePEc:vic:vicewp:0007
Note: ISSN 1485-6441 Contact details of provider: Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2 Phone: (250)721-8540 Fax: (250)721-6214 Web page: http://web.uvic.ca/econ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (David Giles).
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.:
Cited by: (explanations, 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.)
Did you know? Each page is provided with a technical contact, in case something is not right with the supplied information. See under "publisher info".