二元选择模型中的拟合优度度量

Goodness-of-fit measures in binary choice models1

Econometric Reviews · 1995
被引 146 · 同刊同年前 2%
人大 A-ABS 3

中文导读

综述了二十年来提出的多种二元选择模型拟合优度度量,分析了伪R方在遗漏变量或包含无关变量时的表现,并与潜在变量模型的OLS-R方及真实与预测概率的样本相关系数平方进行比较。

Abstract

In this paper, a review is given of various goodness-of-fit measures that have been proposed for the binary choice model in the last two decades. The relative behaviour of several pseudo-R2 measures is analysed in a series of misspecified binary choice models, the misspecification being omitted variables or an included irrelevant variable. A comparison is made with the OLS-R2 of the underlying latent variable model and with the squared sample correlation coefficient of the true and predicted probabilities. Further, it is investigated how the values of the measures change with a changing frequency rate of successes.

二元选择模型拟合优度伪R²模型误设