Goodness of Fit Measures of Models with Binary Dependent Variable which Take into Account Heteroskedasticity of a Random Element

Purczyński Jan () and Bednarz-Okrzyńska Kamila ()
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Purczyński Jan: West Pomeranian University of Technology Department of Signal Processing and Multimedia Engineering 26. Kwietnia 10, 71-126 Szczecin, Poland
Bednarz-Okrzyńska Kamila: Ph.D. University of Szczecin Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland

Folia Oeconomica Stetinensia, 2018, vol. 18, issue 1, 182-194

Abstract: The paper tackles a problem which arises during the analysis of binary models, and which is the heteroskedasticity of a random element manifested by the variable value of variance. In the paper, the following probability models, used in the analysis of a dichotomic variable, were considered: a logit model, probit model, and raybit model, which is a model proposed by the authors. The following measures of goodness of fit, present in the field literature, were considered: MSE, MAE, WMSE, and WMAE. A new measure of goodness of fit of a model was proposed, which limits the amplitude of varying values of variance.

Keywords: qualitative econometric models; logit model; probit model (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:18:y:2018:i:1:p:182-194:n:14

DOI: 10.2478/foli-2018-0014

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