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Re: st: probit vs. logit


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: probit vs. logit
Date   Tue, 25 May 2010 13:48:06 -0500

At 09:17 AM 5/25/2010, Nick Winter wrote:
I'll go further -- I've never seen a case where the choice of one or the other makes *any* substantive difference in the substantive effects estimated. (That is, in predicted probabilities or in the impact of IVs on those probabilities.)

I'd also say that if you find an example where your conclusions do differ, you would then be forced to make a choice based on theory about the precise nature of unobserved disturbances -- I seriously doubt most field have theories precise enough to make that choice with any confidence.

I had a prominent economist tell me once that he thought probit was much better, but he didn't say why. Like you, I've never seen a case where it made much substantive difference. It is more a matter of disciplinary practices or personal preference. I don't know if it is true or not, but I think somebody on this list once said that you would need several million cases to empirically distinguish between logit and probit.

However, when you get into more advanced techniques, there can be good reasons for preferring one link over the other. For example, as far as I know, there are no logistic counterparts to biprobit or ivprobit. I don't know if that is because the routines have not been written or if such routines are impossible to estimate or much more difficult to program.


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Richard Williams, Notre Dame Dept of Sociology
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