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Evaluation of a Pseudo-R2 Measure for Panel Probit Models

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  • Martin Spiess

Abstract

A simulation study designed to evaluate the pseudo-R2 T proposed by Spiess and Keller (1999) suggests that this measure represents the goodness- of-fit not only of the systematic part, but also of the assumed correlation structure in binary panel probit models.

Suggested Citation

  • Martin Spiess, 2000. "Evaluation of a Pseudo-R2 Measure for Panel Probit Models," Discussion Papers of DIW Berlin 215, DIW Berlin, German Institute for Economic Research.
    • Handle: RePEc:diw:diwwpp:dp215
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    File URL: https://www.diw.de/documents/publikationen/73/diw_01.c.38549.de/dp215.pdf
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    References listed on IDEAS

    as
    1. Veall, Michael R & Zimmermann, Klaus F, 1996. "Pseudo-R-[superscript 2] Measures for Some Common Limited Dependent Variable Models," Journal of Economic Surveys, Wiley Blackwell, vol. 10(3), pages 241-259, September.
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    More about this item

    Keywords

    Goodness-of-fit; Pseudo-R2; Panel probit model; Simulation study;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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