IDEAS home Printed from https://ideas.repec.org/p/tin/wpaper/20000006.html
   My bibliography  Save this paper

Asymptotic Properties of Predicted Probabilities in Discrete Regression

Author

Listed:
  • J.S. Cramer

    (University of Amsterdam)

Abstract

The discrete outcome of a probability model is recordedas Y(i)=1 while otherwise Y(i)=0. y is the vector of observedoutcomes, p the corresponding probabilities, p^a consistent estimate of p, and residuals are defined ase = y - p^. Under quite general conditions, theasymptotic properties of p^ ensure that these residualshave zero mean and are uncorrelated with p^. Theseasymptotic results extend to the multinomial case. Theysupport certain measures of fit for discrete models.

Suggested Citation

  • J.S. Cramer, 2000. "Asymptotic Properties of Predicted Probabilities in Discrete Regression," Tinbergen Institute Discussion Papers 00-006/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20000006
    as

    Download full text from publisher

    File URL: https://papers.tinbergen.nl/00006.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bassett, William F. & Chosak, Mary Beth & Driscoll, John C. & Zakrajšek, Egon, 2014. "Changes in bank lending standards and the macroeconomy," Journal of Monetary Economics, Elsevier, vol. 62(C), pages 23-40.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:tin:wpaper:20000006. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Tinbergen Office +31 (0)10-4088900 (email available below). General contact details of provider: https://edirc.repec.org/data/tinbenl.html .

    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.