Observaciones anómalas en modelos de elección binaria

Thumbnail Image
Official URL
Full text at PDC
Publication Date
Advisors (or tutors)
Journal Title
Journal ISSN
Volume Title
Facultad de Ciencias Económicas y Empresariales. Decanato
Google Scholar
Research Projects
Organizational Units
Journal Issue
En este trabajo se trata el problema de la existencia de observaciones anómalas en modelos de elección binaria. Se demuestra que la presencia de estas observaciones afecta a la consistencia de los estimadores de máxima verosimilitud. En cuanto a su detección: se muestra que el análisis de residuos no es un instrumento adecuado, debido a la censura de la variable dependiente y se deriva un estadístico, similar al propuesto por Cook (1977) para modelos lineales, que resulta apropiado para la detección de anomalías en este tipo de modelos. Los resultados teóricos se contrastan con datos simulados.
This paper deals with the problem of outliers in binary response models. It is proved that the existence of these observations in the sample affects the consistency of maximum likelihood estimators. Regarding to detection of outliers: it is shown that residual analysis is not a useful diagnostic tool, due to the censoring of the dependent variable and it is derived a statistic, analogous to the one proposed by Cook (1977) for linear models, which seems to be appropiated for outlier detection in this type of models. The theoretical results are tested using simulated data.
Unesco subjects
Amemiya, T. (1981) "Qualitative Response Models: A Survey", Journal of Economic Literature, XIX, 1483-1536. Bedrick, E.J. y J.R. Hill (1990) "Outlier Tests for Logistic Regression: a Conditional Approach", Biometrika, 77, 4, 815-827. Belsley, D.A., E. Kuh y R.E. Welsch (1980) Regression Diagnostics, John Wiley. Box, G.E.P. y G.C. Tiao (1968) "A Bayesian Approach to some Outlier Problems", Biometrika, 55, 1, 119-129. Box, G.E.P. y G.C. Tiao (1973) Bayesian Inference in Statistical Analysis, Reading Mass: Addison-Wesley. Cook, R.D. (1977) "Detection of Influential Observation in Linear Regression", Technometrics, 19, 1, 15-18. Cook, R.D. y Weisberg (1980) "Characterization of an Empirical Influence Function for Detecting Influential Cases in Regression", Technometrics, 22, 4, 495-508. Copas, J.B. (1988) "Binary Regression Models for Contaminated Data", Journal of the Royal Statistical Society, 50, 2, 225-265. Cox, D.R. y E.J. Snell (1989) Analysis of Binary Data, Monographs on Statistics and Applied Probability, 32, Chapman & Hall, segunda edición. Godfrey, L.G. (1988) Misspecification Tests in Econometrics, Cambridge University Press. Jennings, D.E. (1986) "Outliers and Residual Distributions in Logistic Regression", Journal of the American Statistical Association, 81, 396, 987-990. Lesaffre, E. y A. Albert (1989) "Multiple-group Logistic Regression Diagnostics", Applied Statistics, 38, 3, 425-440. Maddala, G.S. (1983) Limited Dependent and Qualitative Variables in Econometrics, Cambridge University Press. Peña, D. (1987) "Observaciones Influyentes en Modelos Econométricos", Investigaciones Económicas, XI, 1, 3-24. Peña, D. y J. Ruíz-Castillo (1982) "Métodos Robustos de Construcción de Modelos de Regresión. Una Aplicación al sector de la Vivienda", Estadística Española, 97, 47-76. Peña, D. y J. Ruiz-Castillo (1984) "Robust Methods of Building Regression Models. An Application to the Housing Sector", Journal of Bussines and Economic Statistics, 2, 1, 10-20. Pregibon, D. (1981) "Logistic Regression Diagnostics", The Annals of Statistics, 9, 4, 705-724. Quandt, R.E. (1983) "Computational Problems and Methods" en Handbook of Econometrics, vol. 1, Z. Griliches y M.D. Intriligator Eds., North Holand Publishing Co. Quandt, R.E. y J. Ramsey (1978) "Estimating Mixtures of Normal Distributions and Switching Regressions", Journal of the American Statistical Association, 73, 364, 730-752. White, H. (1984) Asymptotic Theory for Econometricians, Academic Press. Williams, D.A. (1987) "Generalized Linear Model Diagnostics: The Deviance and Single Case Deletion", Applied Statistics, 36, 2, 181-191.