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Performance measures from prediction- realization tables

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
39
Issue
2
Identifiers
DOI: 10.1016/0165-1765(92)90279-8

Abstract

Abstract A standard output from the application of probit estimation is a prediction–realization table, which compares the predictions from the estimated equation to the realizations. The percentage of correct predictions, although commonly reported, can be a misleading guide to prediction performance. This paper considers a number of other methods for measuring performance, all calculated in Pseudo- R 2 form and all based only on prediction table information. Monte Carlo results are provided to permit comparisons. It is argued that one criterion to choose a Pseudo- R 2 is its closeness to the (unobserved) R 2 from the underlying latent variable model. A measure suggested by McFadden, Puig and Kirschner scores well under this criterion.

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