IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v44y2017i14p2458-2482.html
   My bibliography  Save this article

A Monte Carlo-based pseudo-coefficient of determination for generalized linear models with binary outcome

Author

Listed:
  • Selen Cakmakyapan
  • Haydar Demirhan

Abstract

In this article, we focus on a pseudo-coefficient of determination for generalized linear models with binary outcome. Although there are numerous coefficients of determination proposed in the literature, none of them is identified as the best in terms of estimation accuracy, or incorporates all desired characteristics of a precise coefficient of determination. Considering this, we propose a new coefficient of determination by using a computational Monte Carlo approach, and exhibit main characteristics of the proposed coefficient of determination both analytically and numerically. We evaluate and compare performances of the proposed and nine existing coefficients of determination by a comprehensive Monte Carlo simulation study. The proposed measure is found superior to the existent measures when dependent variable is balanced or moderately unbalanced for probit, logit, and complementary log–log link functions and a wide range of sample sizes. Due to the extensive design space of our simulation study, we identify new conditions in which previously recommended coefficients of determination should be used carefully.

Suggested Citation

  • Selen Cakmakyapan & Haydar Demirhan, 2017. "A Monte Carlo-based pseudo-coefficient of determination for generalized linear models with binary outcome," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(14), pages 2458-2482, October.
    • Handle: RePEc:taf:japsta:v:44:y:2017:i:14:p:2458-2482
    DOI: 10.1080/02664763.2016.1257585
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/02664763.2016.1257585
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/02664763.2016.1257585?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Michael G. Lacy, 2006. "An Explained Variation Measure for Ordinal Response Models With Comparisons to Other Ordinal R² Measures," Sociological Methods & Research, , vol. 34(4), pages 469-520, May.
    2. Michael Veall & Klaus Zimmermann, 1994. "Evaluating Pseudo-R 2 's for binary probit models," Quality & Quantity: International Journal of Methodology, Springer, vol. 28(2), pages 151-164, May.
    3. Lave, Charles A, 1970. "The Demand for Urban Mass Transportation," The Review of Economics and Statistics, MIT Press, vol. 52(3), pages 320-323, August.
    4. J. Scott Long & Jeremy Freese, 2006. "Regression Models for Categorical Dependent Variables using Stata, 2nd Edition," Stata Press books, StataCorp LP, edition 2, number long2, March.
    5. Estrella, Arturo, 1998. "A New Measure of Fit for Equations with Dichotomous Dependent Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 198-205, April.
    6. ALFRED DeMARIS, 2002. "Explained Variance in Logistic Regression," Sociological Methods & Research, , vol. 31(1), pages 27-74, August.
    7. Dhrymes, Phoebus J., 1986. "Limited dependent variables," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 27, pages 1567-1631, Elsevier.
    8. John G. Cragg & Russell S. Uhler, 1970. "The Demand for Automobiles," Canadian Journal of Economics, Canadian Economics Association, vol. 3(3), pages 386-406, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Commins, Nicola & Nolan, Anne, 2011. "The determinants of mode of transport to work in the Greater Dublin Area," Transport Policy, Elsevier, vol. 18(1), pages 259-268, January.
    2. Michael Veall & Klaus Zimmermann, 1994. "Evaluating Pseudo-R 2 's for binary probit models," Quality & Quantity: International Journal of Methodology, Springer, vol. 28(2), pages 151-164, May.
    3. Petr Jakubik, 2008. "Credit risk and stress testing of the Czech Banking Sector," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 107-123.
    4. Estrella, Arturo, 1998. "A New Measure of Fit for Equations with Dichotomous Dependent Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 198-205, April.
    5. Petr Jakubík & Tatiana Škerlíková, 2014. "Macroeconomic Determinants of Firms' Default in the Czech Republic [Makroekonomické determinanty úpadku firem v České republice]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2014(2), pages 69-80.
    6. Wim Verbeke & Ronald W. Ward & Jacques Viaene, 2000. "Probit analysis of fresh meat consumption in Belgium: Exploring BSE and television communication impact," Agribusiness, John Wiley & Sons, Ltd., vol. 16(2), pages 215-234.
    7. Biagio Simonetti & Pasquale Sarnacchiaro & M. Rosario González Rodríguez, 2017. "Goodness of fit measures for logistic regression model: an application for students’ evaluations of university teaching," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(6), pages 2545-2554, November.
    8. Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers 2008/9, Czech National Bank.
    9. Petr Budinsky & Radim Valenèík, 2008. "Nash Equilibrium in Elementary System of Redistribution Calculation, Weight, Application," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 124-130.
    10. Roman Horvath, 2008. "Monetary Policy Stance and Future Inflation: The Case of Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 80-106.
    11. Petr Jakubík, 2011. "Household Balance Sheets and Economic Crisis," Working Papers IES 2011/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2011.
    12. Filip Novotný, 2008. "The Exchange Rate Adjustment Role in Imperfect Competition: the Case of the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 38-55.
    13. David Prusvic, 2008. "Interaction between Monetary and Fiscal Policy in a Small Open Economy with Autonomous Monetary Policy and Fiscal Policy Rule," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 56-79.
    14. Fikru, Mahelet G. & Canfield, Casey, 2024. "Choosing both/and: Encouraging green energy purchases in community choice aggregation," Energy Policy, Elsevier, vol. 185(C).
    15. Adam Gersl, 2008. "Three Indirect Effects of Foreign Direct Investment: Evidence from the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 15-37.
    16. Jinsuk Yang & Qing Hao & Mahmut Yaşar, 2023. "Institutional investors and cross‐border mergers and acquisitions: The 2000–2018 period," International Review of Finance, International Review of Finance Ltd., vol. 23(3), pages 553-583, September.
    17. Kerri Brick & Martine Visser & Justine Burns, 2012. "Risk Aversion: Experimental Evidence from South African Fishing Communities," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 94(1), pages 133-152.
    18. Clara Berridge & Yuanjin Zhou & Julie M. Robillard & Jeffrey Kaye, 2023. "AI Companion Robot Data Sharing: Preferences of an Online Cohort and Policy Implications," Journal of Elder Policy, John Wiley & Sons, vol. 2(3), pages 19-54, June.
    19. Dixon, Huw D. & Grimme, Christian, 2022. "State-dependent or time-dependent pricing? New evidence from a monthly firm-level survey: 1980–2017," European Economic Review, Elsevier, vol. 150(C).
    20. Melanie Lefevre, 2011. "Willingness-to-pay for Local Milk-based Dairy Product in Senegal," CREPP Working Papers 1108, Centre de Recherche en Economie Publique et de la Population (CREPP) (Research Center on Public and Population Economics) HEC-Management School, University of Liège.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:44:y:2017:i:14:p:2458-2482. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.