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Simulations comparing OLS, logistic regression, KRLS, and KRlogit #8

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lukesonnet opened this issue Jul 29, 2017 · 0 comments
Open
5 tasks

Simulations comparing OLS, logistic regression, KRLS, and KRlogit #8

lukesonnet opened this issue Jul 29, 2017 · 0 comments
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Immediate for wor...

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@lukesonnet
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Compare the above on MSE of predicted probabilities to latent Y* (which has noise) and NLL on predicted probabilities to observed Y. Also compare on MSE of average marginal effects. Do this for the following settings:

  • Well specified logistic DGP (few + many predictors)
  • logistic DGP with misspecification in linear component (ommitted variables + interactions + higher order terms)
  • well specified probit DGP
  • probit DGP with misspecification in linear component
  • linear DGP
@lukesonnet lukesonnet self-assigned this Jul 29, 2017
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