Running the Analysis

  1. To run a ROC Analysis, from the menu, choose

    Analyze > Classify > ROC Analysis…

    Figure 1. ROC Analysis dialog box
    ROC Curve dialog box
  2. Select Predicted default, model 1, Predicted default, model 2 and Predicted default, model 3 as the test variables.
  3. Select Previously defaulted as the State Variable and specify 1 as the Value of State Variable.
  4. Click Display…
  5. Select ROC curve with diagonal reference line and Standard error and confidence interval, Coordinate points of ROC Curve with Youden's index and Classifier evaluation matrix, as shown in Figure 2.
    Figure 2. ROC Analysis: Display dialog box

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  6. Click Continue.
  7. Click OK.

These selections produce ROC curves for how well the three models predict loan default, estimates of the areas under each curve, tests of equality of the areas under each curve, and with confidence intervals for the differences in areas.

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