A generalized moments specification test for the logistic link
نویسندگان
چکیده
The authors consider the problem of testing the validity of the logistic regression model using a random sample. Given the values of the response variable, they observe that the sample actually consists of two independent subsets of observations whose density ratio has a known parametric form when the model is true. They are thus led to propose a generalized moments specification test in detail. In addition, they show that this test can be derived using Neyman’s smooth tests for goodness-of-fit. They present simulation results and apply the methodology to the analysis of two real data sets.
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