On specification testing of ordered discrete choice models |
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Authors: | Juan Mora Ana I Moro-Egido |
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Institution: | 1. Departamento de Fundamentos del Análisis Económico, Universidad de Alicante, Apartado de Correos 99, 03080 Alicante, Spain;2. Departamento de Teoría e Historia Económica, Universidad de Granada, Campus Cartuja s/n, 18011 Granada, Spain |
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Abstract: | We discuss how to test the specification of an ordered discrete choice model against a general alternative. Two main approaches can be followed: tests based on moment conditions and tests based on comparisons between parametric and nonparametric estimations. Following these approaches, various statistics are proposed and their asymptotic properties are discussed. The performance of the statistics is compared by means of simulations. An easy-to-compute variant of the standard moment-based statistic yields the best results in models with a single explanatory variable. In models with various explanatory variables the results are less conclusive, since the relative performance of the statistics depends on both the fit of the model and the type of misspecification that is considered. |
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Keywords: | C25 C52 C15 |
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