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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

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.

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