Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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On a Bayes Criterion for the Goodness-of-Link Test for Binary Response Regression Models : Probit Link versus Logit Link

  • Kim, Hea-Jung (Department of Statistics, Dongguk University, Seoul, 100-715)
  • Published : 1997.06.01
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Abstract

In the context of binary response regression, the problem of constructing Bayesian goodness-of-link test for testing logit link versus probit link is considered. Based upon the well known facts that cdf of logistic variate .approx. cdf of $t_{8}$/.634 and, as .nu. .to. .infty., cdf of $t_{\nu}$ approximates to that of N(0,1), Bayes factor is derived as a test criterion. A synthesis of the Gibbs sampling and a marginal likelihood estimation scheme is also proposed to compute the Bayes factor. Performance of the test is investigated via Monte Carlo study. The new test is also illustrated with an empirical data example.e.

Keywords

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