LOGIT Model cross-validation

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ssertbas
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Joined: Mon Jul 23, 2012 12:52 pm

LOGIT Model cross-validation

Postby ssertbas » Mon Jul 23, 2012 1:46 pm

Hi
I develop a Logit Model for credit risk rating.
Dependent variable is Non-performing Loans/ Performing Loans, so 1/0
Population has 10.000 observations

I want to make cross-validation so I separated randomly 30% test sample and developed a logit model with using remained 70% sample. I have repeated this cross validation process several times and measured ROC for discrimination power. All models were successful. I am planning to implement this developed logit model.

The question is “ Should I choose model which is created by all population or one of the test models ( by 70% random sample)?”

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