Loading [MathJax]/extensions/tex2jax.js

Pseudo latent models: Goodness of fit measures, residuals, estimation, testing, and simulation

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Autoren

  • Olaf Hübler

Details

OriginalspracheEnglisch
Seiten (von - bis)271-285
Seitenumfang15
FachzeitschriftStatistical papers
Jahrgang38
Ausgabenummer3
PublikationsstatusVeröffentlicht - 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

Zitieren

Pseudo latent models: Goodness of fit measures, residuals, estimation, testing, and simulation. / Hübler, Olaf.
in: Statistical papers, Jahrgang 38, Nr. 3, 09.1997, S. 271-285.

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Hübler O. Pseudo latent models: Goodness of fit measures, residuals, estimation, testing, and simulation. Statistical papers. 1997 Sep;38(3):271-285. doi: 10.1007/BF02926001, 10.1007/BF02925269
Download
@article{afa9bed576d24f188de8369b7c180d45,
title = "Pseudo latent models: Goodness of fit measures, residuals, estimation, testing, and simulation",
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.",
author = "Olaf H{\"u}bler",
year = "1997",
month = sep,
doi = "10.1007/BF02926001",
language = "English",
volume = "38",
pages = "271--285",
journal = "Statistical papers",
issn = "0932-5026",
publisher = "Springer New York",
number = "3",

}

Download

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 -