Goodness of Fit Measures of Models with Binary Dependent Variable which Take into Account Heteroskedasticity of a Random Element

Folia Oeconomica Stetinensia

Bednarz-Okrzyńska Kamila¹  Purczyński Jan² 

[1] Ph.D. University of Szczecin Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland;West Pomeranian University of Technology Department of Signal Processing and Multimedia Engineering 26. Kwietnia 10, 71-126 Szczecin, Poland;

关键词: qualitative econometric models;    logit model;    probit model;   

DOI  :  10.2478/foli-2018-0014

来源: DOAJ

【 摘 要 】

The paper tackles a problem which arises during the analysis of binary models, and which is the heteroskedasticity of a random element manifested by the variable value of variance. In the paper, the following probability models, used in the analysis of a dichotomic variable, were considered: a logit model, probit model, and raybit model, which is a model proposed by the authors. The following measures of goodness of fit, present in the field literature, were considered: MSE, MAE, WMSE, and WMAE. A new measure of goodness of fit of a model was proposed, which limits the amplitude of varying values of variance.

【 授权许可】

Unknown