Prediction tests in limited dependent variable models

DOI10.1016/0304-4076(87)90074-1MaRDI QIDQ1104020zbMATH OpenOpenAlexFDO

Authors B. George

Publication date 1987

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(87)90074-1

zbMATH Keywords

dummy variableslimited dependent variable modelstests of predictive power

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Review text

This paper discusses the problem of assessing the predictive power of a model in the class of limited dependent variable models. The use of dummy variables in this context in standard regression models has been discussed in \textit{D. S. Salkever}, J. Econ. 4, 393-397 (1976; Zbl 0348.62032), however problems emerge if such an approach is taken when the dummy appears in a limit of an integral that has to be evaluated. The paper proposes tests of predictive power which circumvent these problems.

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Cites work

• Exogeneity
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• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
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• On the formulation of empirical models in dynamic econometrics
• Specification Tests for the Multinomial Logit Model
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The structure of simultaneous equations estimators
• The structure of simultaneous equations estimators. A comment
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Cited in

(5)

• scientific article; zbMATH DE number 3860264 (Why is no real title available?)
• Efficient specification tests for limited dependent variable models
• scientific article; zbMATH DE number 4062441 (Why is no real title available?)
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• Missing measurements in limited dependent variable models

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