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RE: st: probit questions

From   "Verkuilen, Jay" <>
To   <>
Subject   RE: st: probit questions
Date   Wed, 25 Jun 2008 13:06:51 -0400

Maarten buis wrote:

>>The differences are very minor, I believe that the tails are slightly
fatter for the logistic distribution than the normal (or was it the
other way round?),<<

Nope, you're right. The logit is like a t(10). The Cauchy is, of course,
a t(1). Thus, in terms of kurtosis, probit < logit < cauchit. (I don't
think Stata has a built-in cauchit link but -gologit2- does, if I recall
correctly.) Roger Koenker had a very nice paper on this: 

>>anyhow you won't find any difference with only 60 observations. 


>>So your choice should be quided by convenience and conventions in your
discipline. I like -logit- because I like odds ratios, but economists
tend to like -probit-.<<

Economists seem like probit because they like the normal distribution
for random utility models. Of course, you can use a logit random utility
model, too, if the random utilities are Type I extreme value. The
multivariate normal is "nicer" in some respects because of its closure


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