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Re: st: probit vs. logit


From   carlto12@msu.edu
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: probit vs. logit
Date   Tue, 25 May 2010 14:55:32 -0400


One reason that economists might prefer the probit conditional mean specification is that it is easier to control for unobserved effects via a Correlated Random Effects (CRE) approach, although this would only arise in a panel data context. For example, Papke and Wooldridge (1996) use the logit link function for cross-sectional analysis, but in Papke and Wooldridge (2008) they use a probit link function to allow them to more easily control for time-constant unobservables.

References:

1. Papke, L. and J. M. Wooldridge (1996). ?Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates,? Journal of Applied Econometrics, 11, pp. 619-632.

2. Papke, L. and J. M. Wooldridge (2008). ?Panel Data Methods for Fractional Response Variables with an Application to Test Pass Rates,? Journal of Econometrics, 145, pp. 121-133.


Quoting Richard Williams <richardwilliams.ndu@gmail.com>:

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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