A Simple Artificial Regression Based Test of the Goodness of Fit of Binary Choice Models

Anthony Murphy

Oxford Bulletin of Economics and Statistics, 2000, vol. 62, issue 3, 445-450

Abstract: A test of the goodness of fit of a binary choice model is derived using the conditional moment testing approach. The test statistic may be calculated as the explained sum of squares or N:R2 in a simple artificial regression. The test statistic has reasonably good small sample properties since it is not based on the outer product gradient (OPG) form.

Date: 2000
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https://doi.org/10.1111/1468-0084.00180

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