Specification testing for binary choice model via maximum score

Yuta Ota and Taisuke Otsu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper proposes a Hausman-type statistic to the test specification of a parametric binary choice model by comparing the maximum likelihood estimator and the maximum score estimator. Although the convergence rates are different, it is still meaningful to compare these estimators to detect misspecification of parametric models. A simulation study illustrates that the proposed test offers better size properties than the conventional information matrix test, and exhibits reasonable power against common forms of misspecification, such as heavy-tailed distributions and heteroskedasticity.

Keywords: binary choice; cube root asymptotics; maximum score; specification testing (search for similar items in EconPapers)
JEL-codes: J1 (search for similar items in EconPapers)
Pages: 4 pages
Date: 2026-05-31
New Economics Papers: this item is included in nep-dcm
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Published in Economics Letters, 31, May, 2026, 263. ISSN: 0165-1765

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