Comparison of Goodness-of-Fit Measures in Probit Regression Model

Abstract

This article examines several goodness-of-fit measures in the binary probit regression model. Existing pseudo-R ² measures are reviewed, two modified and one new pseudo-R ² measure are proposed. For the probit regression model, empirical comparisons are made for different goodness-of-fit measures with the squared sample correlation coefficient of the observed response and the predicted probabilities. As an illustration, the goodness-of-fit measures are applied to a “paid labor force” data set.

Keywords:

• Binary choice model
• Goodness-of-fit (GOF)
• Probit regression model
• Pseudo-R ²

Mathematics Subject Classification:

• Primary 62J12
• Secondary 6204