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Re: st: probit vs. logit


From   "Michael N. Mitchell" <Michael.Norman.Mitchell@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: probit vs. logit
Date   Tue, 25 May 2010 10:05:15 -0700

Dear Everyone responding on this thread...

These are all great ideas about "logit" and "probit"... I think this thread has gravitated lots of thoughts and perspectives that I see discussed "on the street" but not written about. It is like statistical water cooler conversation.

Thanks!

Michael N. Mitchell
Data Management Using Stata      - http://www.stata.com/bookstore/dmus.html
A Visual Guide to Stata Graphics - http://www.stata.com/bookstore/vgsg.html
Stata tidbit of the week         - http://www.MichaelNormanMitchell.com



On 2010-05-25 5.00 AM, Maarten buis wrote:
--- On Tue, 25/5/10, Michael N. Mitchell wrote:
I agree with Martin, that<snip>
http://www.stata.com/statalist/archive/2010-02/msg00840.html

If someone gets picky with you and really wants to see a
comparison of the model fit of the two models, I think you
could use -estimates store- and -estimates stats- (as shown
below) to compare the fit of the models using the AIC and/or
BIC (where a smaller value means better fit). As in the
example below, the two values are nearly identical, and I
think we all expect that this would generally be the case.

Michael shows that in his example he finds a BIC difference of
.02036. To give it a bit of perspective: Adrian Raftery (1995)
propsed the following categorization of BIC differences:

0-2  : Weak evidence
2-6  : Positive evidence
6-10 : Strong evidence
10 : Very strong evidence

So the kind of difference that Michael found would to all
intends and purposes mean that the logit and probit models are
indistinguishable.

Hope this helps,
Maarten

Adrian E. Raftery (1995) "Bayesian Model Selection in Social
Research", Sociological Methodology, Vol. 25, pp. 111-163.

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------




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