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Parametric and semiparametric specification tests for binary choice models: a comparative simulation study

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Author Info
Isabel Proenca (ISEG-UTL)
Joao Santos Silva (ISEG-UTL)

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Abstract

Although semiparametric alternatives are available, parametric binary choice models are widely used in practice, in spite of their sensitivity to misspecification. Here we present the results of a simulation study on the finite sample performance of parametric and semiparametric specification tests for this kind of models. The results obtained indicate that the computationally demanding semiparametric tests do not generally outperform the simpler score tests against parametric alternatives.

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Paper provided by EconWPA in its series Econometrics with number 0508008.

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Length: 8 pages
Date of creation: 05 Aug 2005
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Handle: RePEc:wpa:wuwpem:0508008

Note: Type of Document - pdf; pages: 8
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Web page: http://129.3.20.41

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
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

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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. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-72, July. [Downloadable!] (restricted)
  2. Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December. [Downloadable!] (restricted)
  3. Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics. [Downloadable!]
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  4. W. Härdle & E. Mammen & I. Proenca, . "A Bootstrap Test for Single Index Models," Sonderforschungsbereich 373 2000-20, Humboldt Universitaet Berlin.
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  5. Isabel PROENCA & Christian RITTER, . "Semiparametric Testing of the Link Function in Models for Binary Outcomes," Sonderforschungsbereich 373 1994-17, Humboldt Universitaet Berlin.
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