Betit: A Family that Nests Probit and Logit
This paper proposes a dichotomous choice model that is based on a transformed beta (or z†) distribution. This model, called betit, nests both logit and probit and allows for various skewed and peaked disturbance densities. Because the shape of this density affects the estimated relation between the dichotomous choice variable and its determinants, the greater flexibility of the transformed beta distribution is useful in generating more accurate representations of this relationship. The paper considers asymptotic biases of the logit and probit models under conditions where betit should have been used. It also investigates small sample power and provides two examples of applications that illustrative of the capability of the betit model. [IZA Discussion Paper No. 222]
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| Date of creation: | Aug 2010 |
| Handle: | RePEc:ess:wpaper:id:2768 |
| Note: | Institutional Papers |
| Contact details of provider: | Web page: http://www.esocialsciences.org
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- Klein, Roger W & Spady, Richard H, 1993.
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- Arabmazar, Abbas & Schmidt, Peter, 1981. "Further evidence on the robustness of the Tobit estimator to heteroskedasticity," Journal of Econometrics, Elsevier, vol. 17(2), pages 253-258, November.
- Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
- Mroz, Thomas A, 1987. "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," Econometrica, Econometric Society, vol. 55(4), pages 765-799, July.
- Thomas Mroz, "undated". "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," University of Chicago - Population Research Center 84-8, Chicago - Population Research Center.
- Hurd, Michael, 1979. "Estimation in truncated samples when there is heteroscedasticity," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 247-258.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- Bera, Anil K & Jarque, Carlos M & Lee, Lung-Fei, 1984. "Testing the Normality Assumption in Limited Dependent Variable Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 563-578, October. Full references (including those not matched with items on IDEAS)
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