The Hosmer-Lemeshow Goodness-of-Fit Test

Hi, I am not able to find any function to computation of Hosmer-Lemeshow test. I am trying to compute a quality of model for predicting of the defaults in credit risk modeling (logistic regression used.). Thank you

Answer 1

[Prashanth Ravindran]

Check out this website for the matlab code for HL test. http://www.nyu.edu/projects/farbood/projects/stats.html

Prashanth

[SEU]

It's good and thanks for sharing

Answer 2

[David Nielsen]

I am taking the chance to bring a function I wrote to compute the HL test. However, I have tested it with different packages (i.e. R) and I get different results. Please also check the very clearifying answer to why that may be here.

The function for the HL test uses binning in quantiles with same number of observations.