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st: AW: Why do logit model coefficients produce signs opposite to those obtained from OLS?


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Why do logit model coefficients produce signs opposite to those obtained from OLS?
Date   Thu, 4 Feb 2010 16:09:43 +0100

<> 

Just try to find it out with the examples in the help file. But you are
probably more interested in marginal effects than the coefficients
themselves?


*************
webuse lbw, clear
glm low age lwt i.race smoke ptl ht ui, family(gaussian) link(identity)
margins, dydx(*)
glm low age lwt i.race smoke ptl ht ui, family(binomial 1) link(logit)
margins, dydx(*)
*************



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Jitian Sheu
Gesendet: Donnerstag, 4. Februar 2010 16:02
An: statalist@hsphsun2.harvard.edu
Betreff: st: Why do logit model coefficients produce signs opposite to those
obtained from OLS?

Dear listers:

I am running a very very simple binary model, y=a+bX+e, where y is a dummy
variable.
Before performing -logit- command, I estimate the above model by a
traditional OLS, i.e. linear probability model (regress y x1 x2...)

I knew that OLS is not a good model for fitting this model. I just want to
get some direction from results obtained from traditional OLS

However, after I perform -regress- and -logit-, I found signs of estimated
coefficients from these two models are not the same.

I am just wondering whether this is "normal"? or I am doing anything wrong?

Many thanks.

Jitian


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