Running the Analysis
- To run a ROC Curve analysis, from
the menus choose:
Figure 1. ROC Curve dialog box - Select Predicted default, model 1, Predicted default, model 2, and Predicted default, model 3 as test variables.
- Select Previously defaulted as the state variable and type 1 as its positive value.
- Select With diagonal reference line and Standard error and confidence interval.
- Click OK.
These selections produce ROC curves for how well the three models predict loan default and estimates of the areas under each curve.