Ting Ji, Laura Liu, Yulong Wang, Jiahe Xing
arXiv 29 Mar 2026 · Econometrics
arXiv:2603.27881 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a specification test for the conventional distributional assumptions of error terms in binary choice models, focusing on its tail properties. Based on extreme value theory, we first establish that the tail index of the unobserved error can be recovered by that of the observed covariates. The null hypothesis of the index being zero essentially covers the widely used probit and logit models. We then construct a simple and powerful statistical test for both cross-sectional and panel data, requiring no model estimation and no parametric assumptions. Monte Carlo simulations demonstrate that our test performs well in size and power, and applications to three empirical examples on firm export and innovation decisions and female labor force participation illustrate its general applicability.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Fernández-Val, Iván (2009) Fixed effects estimation of structural parameters and marginal effects in panel probit models | 1.000 | 5 | 3 | 100% |
| 2 | de Haan, L. and A. Ferreira (2007) Extreme Value Theory: An Introduction | 0.843 | 4 | 3 | 75% |
| 3 | Melitz, Marc J (2003) The impact of trade on intra-industry reallocations and aggregate industry productivity | 0.644 | 2 | 2 | 100% |
| 4 | Müller, Ulrich K and Wang, Yulong (2017) Fixed-k asymptotic inference about tail properties self | 0.644 | 2 | 2 | 100% |
| 5 | Bernard, Andrew B. and Jensen, J. Bradford and Redding, Stephen J. a… (2007) Firms in international trade | 0.511 | 2 | 1 | 100% |
| 6 | Chamberlain, Gary (1980) Analysis of covariance with qualitative data | 0.511 | 2 | 1 | 100% |
| 7 | McFadden, Daniel (1974) Conditional Logit Analysis of Qualitative Choice Behavior | 0.511 | 2 | 1 | 100% |
| 8 | Andrews, Donald WK and Ploberger, Werner (1994) Optimal tests when a nuisance parameter is present only under the alternative | 0.511 | 2 | 1 | 100% |
| 9 | Khan, Shakeeb and Tamer, Elie (2010) Irregular identification, support conditions, and inverse weight estimation | 0.511 | 2 | 1 | 100% |
| 10 | Aw, Bee Yan and Roberts, Mark J. and Xu, Daniel Yi (2011) R&D investment, exporting, and productivity dynamics | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 40 scored citations.