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 R2, 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 paper 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 R2 in the linear regression context.
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| Date of creation: | 1997 |
| Handle: | RePEc:fip:fednrp:9716 |
| Contact details of provider: | Postal: 33 Liberty Street, New York, NY 10045-0001 Web page: http://www.newyorkfed.org/ Email: More information through EDIRC
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References listed on IDEAS
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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.
- 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.
- 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.
- 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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