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Elliott, Graham; Lieli, Robert P.

Predicting binary outcomes. (English) Zbl 1277.62043

J. Econom. 174, No. 1, 15-26 (2013).
Summary: We address the issue of using a set of covariates to categorize or predict a binary outcome. This is a common problem in many disciplines including economics. In the context of a prespecified utility (or cost) function we examine the construction of forecasts suggesting an extension of the maximum score approach of C. F. Manski [ibid. 3, 205–228 (1975; Zbl 0307.62068); ibid. 27, 313–333 (1985; Zbl 0567.62096)]. We provide analytical properties of the method and compare it to more common approaches such as forecasts or classifications based on conditional probability models. Large gains over existing methods can be attained when models are misspecified.

Cited in 2 Reviews
Cited in 7 Documents

MSC:

62C05 General considerations in statistical decision theory
62F10 Point estimation
62P20 Applications of statistics to economics
91B06 Decision theory
91B16 Utility theory
91B82 Statistical methods; economic indices and measures

Citations:

Zbl 0307.62068; Zbl 0567.62096

Software:

simannf90
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\textit{G. Elliott} and \textit{R. P. Lieli}, J. Econom. 174, No. 1, 15--26 (2013; Zbl 1277.62043)
Full Text: DOI

References:

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