Testing for Misspecification in Binary Response Models with Competing Distributions*
基于条件矩检验原理，提出一类非嵌套检验方法，用于检测二元响应模型中probit和logit分布的误设定，并通过蒙特卡洛模拟比较了不同检验的表现。
Abstract In empirical studies, the probit and logit models are often used without checks for their competing distributional specifications. It is also rare for econometric tests to be focused on this issue. Santos Silva [ Journal of Applied Econometrics (2001 ), Vol. 16, pp. 577–597] is an important recent exception. By using the conditional moment test principle, we discuss a wide class of non‐nested tests that can easily be applied to detect the competing distributions for the binary response models. This class of tests includes the test of Santos Silva (2001 ) for the same task as a particular example and provides other useful alternatives. We also compare the performance of these tests by a Monte Carlo simulation.