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Testing for Misspecification in Binary Response Models with Competing Distributions

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  • Yi‐Ting Chen

Abstract

In empirical studies, the probit and logit models are often used without checks for their competing distributional specifications. It is also rare for econometric tests to be focused on this issue. Santos Silva [Journal of Applied Econometrics (2001), Vol. 16, pp. 577–597] is an important recent exception. By using the conditional moment test principle, we discuss a wide class of non‐nested tests that can easily be applied to detect the competing distributions for the binary response models. This class of tests includes the test of Santos Silva (2001) for the same task as a particular example and provides other useful alternatives. We also compare the performance of these tests by a Monte Carlo simulation.

Suggested Citation

  • Yi‐Ting Chen, 2007. "Testing for Misspecification in Binary Response Models with Competing Distributions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 843-865, December.
    • Handle: RePEc:bla:obuest:v:69:y:2007:i:6:p:843-865
    DOI: 10.1111/j.1468-0084.2007.00474.x
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    1. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, Decembrie.
    2. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, June.
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