Parametric and semiparametric specification tests for binary choice models: a comparative simulation study
Isabel Proença () and
João Santos Silva ()
Econometrics from University Library of Munich, Germany
Although semiparametric alternatives are available, parametric binary choice models are widely used in practice, in spite of their sensitivity to misspecification. Here we present the results of a simulation study on the finite sample performance of parametric and semiparametric specification tests for this kind of models. The results obtained indicate that the computationally demanding semiparametric tests do not generally outperform the simpler score tests against parametric alternatives.
JEL-codes: C12 C14 C25 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0508008
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