|
Activity Number:
|
80
|
|
Type:
|
Contributed
|
|
Date/Time:
|
Sunday, July 31, 2016 : 4:00 PM to 5:50 PM
|
|
Sponsor:
|
Business and Economic Statistics Section
|
|
Abstract #319630
|
|
|
Title:
|
Specification Tests for Dynamic Binary Response Models with State Dependence
|
|
Author(s):
|
Alexandru M. Lefter* and Brian P. McCall
|
|
Companies:
|
Mount Royal University and University of Michigan
|
|
Keywords:
|
binary response ;
martingale ;
specification test
|
|
Abstract:
|
This paper develops a specification test for a class of dynamic binary response models with state dependence in which true state dependence is distinguished from spurious state dependence. The test uses the property that if the models are correctly specified, the residuals follow a martingale difference sequence. One application of this test is to assess the validity of the over-identifying restrictions used to achieve identification.
|
Authors who are presenting talks have a * after their name.
