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Re: st: mprobit and ivlogit?


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: mprobit and ivlogit?
Date   Fri, 1 Sep 2006 09:14:21 -0500

On 9/1/06, Clive Nicholas <Clive.Nicholas@newcastle.ac.uk> wrote:
I'd like to add to Rich's valuable tips on getting the best out of
-mprobit- by tackling Nishant's comment that, given his data and model, he
makes no distinction between -mlogit- and -mprobit- on 'theoretical'
grounds.
I've been thinking that -mlogit- uses the sufficient statistic
principle that is characteristic of exponential family, and assumes
uncorrelated "errors" that have some sort of extreme value
distribution; while -mprobit- assumes random errors that have a
multivariate normal distribution with (possibly) correlated errors.
Integration over those errors can be performed analytically in the
case of -mlogit- with a simpler error structure, but has to be done
numerically in the case of -mprobit-. Any microeconometricians out
there (real ones unlike me) to comment on that?

--
Stas Kolenikov
http://stas.kolenikov.name
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