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A Simple Artificial Regression Based Test of the Goodness of Fit of Binary Choice Models

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  • Anthony Murphy

Abstract

A test of the goodness of fit of a binary choice model is derived using the conditional moment testing approach. The test statistic may be calculated as the explained sum of squares or N:R2 in a simple artificial regression. The test statistic has reasonably good small sample properties since it is not based on the outer product gradient (OPG) form.

Suggested Citation

  • Anthony Murphy, 2000. "A Simple Artificial Regression Based Test of the Goodness of Fit of Binary Choice Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(3), pages 445-450, August.
    • Handle: RePEc:bla:obuest:v:62:y:2000:i:3:p:445-450
    DOI: 10.1111/1468-0084.00180
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