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Parametric and semiparametric specification tests for binary choice models: a comparative simulation study

  • Isabel Proenca

    (ISEG-UTL)

  • Joao Santos Silva

    (ISEG-UTL)

Although semiparametric alternatives are available, parametric binary choice models are widely used in practice, in spite of their sensitivity to misspecification. Here we present the results of a simulation study on the finite sample performance of parametric and semiparametric specification tests for this kind of models. The results obtained indicate that the computationally demanding semiparametric tests do not generally outperform the simpler score tests against parametric alternatives.

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File URL: http://econwpa.repec.org/eps/em/papers/0508/0508008.pdf
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Paper provided by EconWPA in its series Econometrics with number 0508008.

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Length: 8 pages
Date of creation: 05 Aug 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0508008
Note: Type of Document - pdf; pages: 8
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, vol. 25(3), pages 241-262, July.
  2. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, March.
  3. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-72, July.
  4. Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
  5. Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S29-59, Supplemen.
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