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Alexandru M. Lefter

Mount Royal University



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Brian P. McCall

University of Michigan



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80 – Panel and Distributional Data Analysis

Specification Tests for Dynamic Binary Response Models with State Dependence

Sponsor: Business and Economic Statistics Section
Keywords: binary response, martingale, specification test

Alexandru M. Lefter

Mount Royal University

Brian P. McCall

University of Michigan

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.

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