Abstract

LEMONTE, ARTUR JOSÉ  and  VANEGAS, LUIS HERNANDO. Una comparación entre la inferencia basada en las estadísticas de Wald y razón de verosimilitud en los modelos logit y probit vía Monte Carlo. Rev.Colomb.Estad. [online]. 2005, vol.28, n.1, pp.77-97. ISSN 0120-1751.

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.

Keywords : Logit model; Probit model; Specification errors; Monte Carlo methods; Likelihood ratio test; Waldás test.

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