CONSISTENT SPECIFICATION TEST FOR ORDERED DISCRETE CHOICE MODELS
Juan Mora () and
Ana Moro-Egido ()
Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
We discuss how to test consistently the specification of an ordereddiscrete choice model. Two approaches are considered: tests based onconditional moment restrictions and tests based on comparisons betweenparametric and nonparametric estimations. Following these approaches,various statistics are proposed and their asymptotic properties are discussed.The performance of the statistics is compared by means of simulations. Avariant of the standard conditional moment statistic and a generalization ofHorowitz-Spokoiny’s statistic perform best.
Keywords: Specification Tests, Ordered Discrete Choice Models; Statistical Simulation (search for similar items in EconPapers)
JEL-codes: C15 C25 C52 (search for similar items in EconPapers)
Pages: 48 pages
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published by Ivie
Downloads: (external link)
http://www.ivie.es/downloads/docs/wpasad/wpasad-2006-17.pdf Fisrt version / Primera version, 2006 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2006-17
Access Statistics for this paper
More papers in Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Contact information at EDIRC.
Bibliographic data for series maintained by Departamento de Edición ().