Robustness of binary choice models to conditional heteroscedasticity

被引：6
|
作者：
Ginker, Tim [1 ]
Lieberman, Offer [1 ]
机构：
[1] Bar Ilan Univ, IL-52100 Ramat Gan, Israel
来源：
ECONOMICS LETTERS | 2017年 / 150卷
基金：
以色列科学基金会;
关键词：
Conditional heteroscedasticity; Misspecified models; Probit; PROBIT MODELS; HETEROSKEDASTICITY; DIRECTION; DYNAMICS;
D O I：
10.1016/j.econlet.2016.11.024
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We show that when the true data generating process of a large class of binary choice models contains conditional heteroscedasticity, predictions based on the misspecified MLE in which conditional heteroscedasticity is ignored, are unaffected by the misspecification. (C) 2016 Elsevier B.V. All rights reserved.
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页码：130 / 134
页数：5
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