Details
Originalsprache | Englisch |
---|---|
Seiten (von - bis) | 271-285 |
Seitenumfang | 15 |
Fachzeitschrift | Statistical papers |
Jahrgang | 38 |
Ausgabenummer | 3 |
Publikationsstatus | Veröffentlicht - Sept. 1997 |
Abstract
Binary response models consider pseudo-R2 measures which are not based on residuals while several concepts of residuals were developed for tests. In this paper the endogenous variable of the latent model corresponding to the binary observable model is substituted by a pseudo variable. Then goodness of fit measures and tests can be based on a joint concept of residuals as for linear models. Different kinds of residuals based on probit ML estimates are employed. The analytical investigations and the simulation results lead to the recommendation to use standardized residuals where there is no difference between observed and generalized residuals. In none of the investigated situations this estimator is far away from the best result. While in large samples all considered estimators are very similar, small sample properties speak in favour of residuals which are modifications of those suggested in the literature. An empirical application demonstrates that it is not necessary to develop new testing procedures for the observable models with dichotomous regressands. Well-know approaches for linear models with continuous endogenous variables which are implemented in usual econometric packages can be used for pseudo latent models.
ASJC Scopus Sachgebiete
- Mathematik (insg.)
- Statistik und Wahrscheinlichkeit
- Entscheidungswissenschaften (insg.)
- Statistik, Wahrscheinlichkeit und Ungewissheit
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in: Statistical papers, Jahrgang 38, Nr. 3, 09.1997, S. 271-285.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - Pseudo latent models
T2 - Goodness of fit measures, residuals, estimation, testing, and simulation
AU - Hübler, Olaf
PY - 1997/9
Y1 - 1997/9
N2 - Binary response models consider pseudo-R2 measures which are not based on residuals while several concepts of residuals were developed for tests. In this paper the endogenous variable of the latent model corresponding to the binary observable model is substituted by a pseudo variable. Then goodness of fit measures and tests can be based on a joint concept of residuals as for linear models. Different kinds of residuals based on probit ML estimates are employed. The analytical investigations and the simulation results lead to the recommendation to use standardized residuals where there is no difference between observed and generalized residuals. In none of the investigated situations this estimator is far away from the best result. While in large samples all considered estimators are very similar, small sample properties speak in favour of residuals which are modifications of those suggested in the literature. An empirical application demonstrates that it is not necessary to develop new testing procedures for the observable models with dichotomous regressands. Well-know approaches for linear models with continuous endogenous variables which are implemented in usual econometric packages can be used for pseudo latent models.
AB - Binary response models consider pseudo-R2 measures which are not based on residuals while several concepts of residuals were developed for tests. In this paper the endogenous variable of the latent model corresponding to the binary observable model is substituted by a pseudo variable. Then goodness of fit measures and tests can be based on a joint concept of residuals as for linear models. Different kinds of residuals based on probit ML estimates are employed. The analytical investigations and the simulation results lead to the recommendation to use standardized residuals where there is no difference between observed and generalized residuals. In none of the investigated situations this estimator is far away from the best result. While in large samples all considered estimators are very similar, small sample properties speak in favour of residuals which are modifications of those suggested in the literature. An empirical application demonstrates that it is not necessary to develop new testing procedures for the observable models with dichotomous regressands. Well-know approaches for linear models with continuous endogenous variables which are implemented in usual econometric packages can be used for pseudo latent models.
UR - http://www.scopus.com/inward/record.url?scp=0642336931&partnerID=8YFLogxK
U2 - 10.1007/BF02926001
DO - 10.1007/BF02926001
M3 - Article
AN - SCOPUS:0642336931
VL - 38
SP - 271
EP - 285
JO - Statistical papers
JF - Statistical papers
SN - 0932-5026
IS - 3
ER -