CONSISTENT SPECIFICATION TEST FOR ORDERED DISCRETE CHOICE MODELS

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: We discuss how to test consistently the specification of an ordereddiscrete choice model. Two approaches are considered: tests based onconditional moment restrictions and tests based on comparisons betweenparametric 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. Avariant of the standard conditional moment statistic and a generalization ofHorowitz-Spokoiny’s statistic perform best.

Keywords: Specification Tests, Ordered Discrete Choice Models; Statistical Simulation (search for similar items in EconPapers)
JEL-codes: C15 C25 C52 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2006-07
New Economics Papers: this item is included in nep-dcm and nep-ecm
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http://www.ivie.es/downloads/docs/wpasad/wpasad-2006-17.pdf Fisrt version / Primera version, 2006 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2006-17

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