Dear gaussians,
I would appreciate if anyone could point me to any literature on tests of
PREDICTIVE PERFORMANCE in the context of BINARY RESPONSE models,
particularly (i) time series LOGIT; (ii) PANEL logit.
I am not sure whether the Diebold-Mariano tests are strictly applicable (eg
distribution of test statistics) in this context(s).
Thanks a lot in advance,
A.M.
________________________________________________________________________
Dr. Ana-Maria Fuertes
Senior Lecturer in Financial Econometrics
Financial Econometrics Research Center
Faculty of Finance
Sir John Cass Business School, City of London
106 Bunhill Row
London EC1Y 8TZ
Tel +44(0) 207 040 0186 Fax +44(0) 207 8881
[log in to unmask]
http://www.staff.city.ac.uk/~fuertes/
Access to my SSRN papers: http://ssrn.com/author=148992
'If I could see further, it is because I stood on the shoulders of giants'
Isaac Newton
___________________________________________________________________
|