Published

2005-01-01

UNA COMPARACIÓN ENTRE LA INFERENCIA BASADA EN LAS ESTADÍSTICAS DE WALD Y RAZÓN DE VEROSIMILITUD EN LOS MODELOS LOGIT Y PROBIT VÍA MONTE CARLO

Keywords:

Modelo logit, modelo probit, error de especificación, simulación de Monte Carlo, test de razón de verosimilitud, test de Wald (es)
Logit model, Probit model, Specification errors, Monte Carlo methods, Likelihood ratio test, Wald’s test (en)

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Authors

  • Artur José Lemonte Universidade Federal de Pernambuco
  • Luis Hernando Vanegas Universidade Federal de Pernambuco
Presentamos un estudio que evalúa y compara el desempeño de pruebas de hipótesis e intervalos de confianza basados en la estadística de Wald con los basados en la estadística de razón de verosimilitud para los modelos logit y probit. Esta comparación se hace a través de las tasas de cobertura de los intervalos de confianza, tasas superior e inferior de los intervalos de confianza, y la potencia de la prueba de significancia. Se emplearon métodos de simulación de Monte Carlo. También se compararon las estadísticas de Wald y de razón de verosimilitud en los modelos logit y probit en presencia de errores en la especificación del modelo.
In this paper we present a study which evaluates and compares the performance of hypothesis testing and confidence intervals based on Wald’s statistic with those based on the likelihood ratio statistic for probit and logit models. We compare the rate of coverage of the confidence intervals, the maximum and minimum confidence interval coverage rate, and the power of the significance tests employing Monte Carlo simulation methods. The Wald and likelihood ratio statistics are also compared for the logit and probit models in the presence of errors in model specification.

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How to Cite

Lemonte, A. J., & Vanegas, L. H. (2005). UNA COMPARACIÓN ENTRE LA INFERENCIA BASADA EN LAS ESTADÍSTICAS DE WALD Y RAZÓN DE VEROSIMILITUD EN LOS MODELOS LOGIT Y PROBIT VÍA MONTE CARLO. Revista Colombiana De Estadística, 28(1), 77-96. https://revistas.unal.edu.co/index.php/estad/article/view/28817

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Copyright (c) 2005 Revista Colombiana de Estadística

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