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Goodness of Fit Measures of Models with Binary Dependent Variable which Take into Account Heteroskedasticity of a Random Element

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  • Purczyński Jan

    (West Pomeranian University of Technology Department of Signal Processing and Multimedia Engineering 26. Kwietnia 10, 71-126 Szczecin, Poland)

  • Bednarz-Okrzyńska Kamila

    (Ph.D. University of Szczecin Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland)

Abstract

The paper tackles a problem which arises during the analysis of binary models, and which is the heteroskedasticity of a random element manifested by the variable value of variance. In the paper, the following probability models, used in the analysis of a dichotomic variable, were considered: a logit model, probit model, and raybit model, which is a model proposed by the authors. The following measures of goodness of fit, present in the field literature, were considered: MSE, MAE, WMSE, and WMAE. A new measure of goodness of fit of a model was proposed, which limits the amplitude of varying values of variance.

Suggested Citation

  • Purczyński Jan & Bednarz-Okrzyńska Kamila, 2018. "Goodness of Fit Measures of Models with Binary Dependent Variable which Take into Account Heteroskedasticity of a Random Element," Folia Oeconomica Stetinensia, Sciendo, vol. 18(1), pages 182-194, June.
    • Handle: RePEc:vrs:foeste:v:18:y:2018:i:1:p:182-194:n:14
    DOI: 10.2478/foli-2018-0014
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    References listed on IDEAS

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    1. 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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