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Robustness of binary choice models to conditional heteroscedasticity

Tim Ginker and Offer Lieberman

Economics Letters, 2017, vol. 150, issue C, 130-134

Abstract: We show that when the true data generating process of a large class of binary choice models contains conditional heteroscedasticity, predictions based on the misspecified MLE in which conditional heteroscedasticity is ignored, are unaffected by the misspecification.

Keywords: Conditional heteroscedasticity; Misspecified models; Probit (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.econlet.2016.11.024

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