Characteristics of Dichotomous Variable Estimators

Jan Purczyński ()
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Jan Purczyński: West Pomeranian University of Technology

Chapter Chapter 21 in Effective Investments on Capital Markets, 2019, pp 301-321 from Springer

Abstract: Abstract The article covers the following probability models used in dichotomous variable analysis: logit, probit, and raybit—the last one proposed by the author. In the article, the following characteristics of estimators are derived: bias, variance, and mean squared error, which links them. The method of probability estimation which minimizes relative root mean squared error (RRMSE) is proposed. It is also shown that the goodness-of-fit measures of mean square error (MSE) and mean absolute error (MAE) models present in the field literature lead to the similar results.

Keywords: Qualitative econometric models; Logit model; Probit model; Raybit model (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-21274-2_21

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DOI: 10.1007/978-3-030-21274-2_21

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