Testing for Misspecification in Binary Response Models With Competing Distributions

Download or read book Testing for Misspecification in Binary Response Models With Competing Distributions written by Yi-Ting Chen and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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.