Robustness of binary choice models to conditional heteroscedasticity

Tim Ginker; Offer Lieberman

doi:10.1016/j.econlet.2016.11.024

Robustness of binary choice models to conditional heteroscedasticity

Tim Ginker, Offer Lieberman

Department of Economics

Bar-Ilan University

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	130-134
Number of pages	5
Journal	Economics Letters
Volume	150
DOIs	https://doi.org/10.1016/j.econlet.2016.11.024
State	Published - 1 Jan 2017

Keywords

Conditional heteroscedasticity
Misspecified models
Probit

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2016.11.024

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title = "Robustness of binary choice models to conditional heteroscedasticity",

abstract = "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.",

keywords = "Conditional heteroscedasticity, Misspecified models, Probit",

author = "Tim Ginker and Offer Lieberman",

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doi = "10.1016/j.econlet.2016.11.024",

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AU - Ginker, Tim

AU - Lieberman, Offer

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N2 - 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.

AB - 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.

KW - Conditional heteroscedasticity

KW - Misspecified models

KW - Probit

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U2 - 10.1016/j.econlet.2016.11.024

DO - 10.1016/j.econlet.2016.11.024

M3 - مقالة

SN - 0165-1765

VL - 150

SP - 130

EP - 134

JO - Economics Letters

JF - Economics Letters

ER -

Robustness of binary choice models to conditional heteroscedasticity

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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