A New Measure of Fit for Equations with Dichotomous Dependent Variables
The econometrics literature contains many alternative measures of goodness of fit, roughly analogous to R-squared, for use with equations with dichotomous dependent variables. There is, however, no consensus as to the measures' relative merits or about which ones should be reported in empirical work. This article proposes a new measure that possesses several useful properties that the other measures lack. The new measure may be interpreted intuitively in a similar way to R-squared in the linear regression context.
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Volume (Year): 16 (1998)
Issue (Month): 2 (April)
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- Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
- John G. Cragg & Russell S. Uhler, 1970. "The Demand for Automobiles," Canadian Journal of Economics, Canadian Economics Association, vol. 3(3), pages 386-406, August.
- Dhrymes, Phoebus J., 1986. "Limited dependent variables," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 27, pages 1567-1631 Elsevier.
- Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
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