Proenca, Isabel and Santos Silva, Joao M C (2005) Parametric and semiparametric specification tests for binary choice models: a comparative simulation study. Working Paper. EconWPA.
Proenca, Isabel and Santos Silva, Joao M C (2005) Parametric and semiparametric specification tests for binary choice models: a comparative simulation study. Working Paper. EconWPA.
Proenca, Isabel and Santos Silva, Joao M C (2005) Parametric and semiparametric specification tests for binary choice models: a comparative simulation study. Working Paper. EconWPA.
Abstract
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.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences > Economics, Department of |
| Depositing User: | Jim Jamieson |
| Date Deposited: | 07 Aug 2012 13:12 |
| Last Modified: | 07 Aug 2012 13:12 |
| URI: | http://repository.essex.ac.uk/id/eprint/3573 |