Template-Type: ReDIF-Paper 1.0
Author-Name: Donkers, A.C.D.
Author-Name-Last: Donkers
Author-Name-First: Bas
Author-Person: pdo14
Author-Name: Melenberg, B.
Author-Name-Last: Melenberg
Author-Name-First: Bertrand
Title: Testing predictive performance of binary choice models
Abstract: Binary choice models occur frequently in economic modeling. A measure of the predictive performance of binary choice models that is often reported is the hit rate of a model. This paper develops a test for the outperformance of a predictor for binary outcomes over a naive prediction method, which predicts the outcome that is most often observed. This is done for a general class of prediction models, including the well known Probit and Logit models. In many cases the test is easy to compute. The test is then applied and compared to a general test of Pesaran and Timmermann (1992) for dependence between predictors and realizations.
Creation-Date: 2002-02-07
File-URL: https://repub.eur.nl/pub/586/feweco20020207092234.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2002-01
Keywords: Binary choice, Marketing, Predictive performance, Testing
Handle: RePEc:ems:eureir:586