Predicting binary outcomes
We address the issue of using a set of covariates to categorize or predict a binary outcome. This is a common problem in many disciplines including economics. In the context of a prespecified utility (or cost) function we examine the construction of forecasts suggesting an extension of the Manski (1975, 1985) maximum score approach. We provide analytical properties of the method and compare it to more common approaches such as forecasts or classifications based on conditional probability models. Large gains over existing methods can be attained when models are misspecified.
References listed on IDEAS
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- Andrews, Donald W.K., 1992.
"Generic Uniform Convergence,"
Cambridge University Press, vol. 8(02), pages 241-257, June.
- Donald W.K. Andrews, 1990. "Generic Uniform Convergence," Cowles Foundation Discussion Papers 940, Cowles Foundation for Research in Economics, Yale University.
- Manski, Charles F. & Thompson, T. Scott, 1989. "Estimation of best predictors of binary response," Journal of Econometrics, Elsevier, vol. 40(1), pages 97-123, January.
- Manski, C.F. & Thompson, S.T., 1989. "Estimation Of Best Predictors Of Benary Response," Working papers 367, Wisconsin Madison - Social Systems.
- Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March.
- Andrews, Donald W K, 1987. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers [On Unification of the Asymptotic Theory of Nonlinear Econometric Models]," Econometrica, Econometric Society, vol. 55(6), pages 1465-1471, November.
- Lieli, Robert P. & Nieto-Barthaburu, Augusto, 2010. "Optimal Binary Prediction for Group Decision Making," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 308-319.
- Boyes, William J. & Hoffman, Dennis L. & Low, Stuart A., 1989. "An econometric analysis of the bank credit scoring problem," Journal of Econometrics, Elsevier, vol. 40(1), pages 3-14, January.
- Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
- Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
- Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August. Full references (including those not matched with items on IDEAS)
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