Föreläsningar Flashcards

1
Q

Important when testing models

A

In-sample estimation, and out-of-sample testing

  • prevents overfitting in-sample
  • checks robustness of model out-of-sample
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2
Q

Model adequacy for the logit model

A

-Standard R^2 does not work; there is an alternative pseudo r^2, for example the McFadden-R^2

  • Often used diagnostic for model fit
  • -Reciever Operating Charcteristics (ROC) curve and the Arena Under the ROC curve (AUROC)
  • -Cumulative Accuracy Profiles (CAP curves) and the Accuracy Ratio (AR)
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