Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Penalized/shrinkage estimators for probi


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Penalized/shrinkage estimators for probi
Date   Fri, 12 Aug 2011 10:42:35 -0400

-findit plogit- does not return anything by that name. It may have
been written and circulates in your organization, but for the rest of
Stata world, it is as good as non-existent. Since the coefficients in
limited dependent variable models are identified up to a scale (or at
least that's how econometricians view it, and I think it is best to
know of all potential pitfalls even if your discipline does not
believe in them), imposing lasso-type conditions on probit
coefficients may lead to strange and inconsistent results (although a
solid reference would certainly convince me otherwise :)).

Most of the time, the choice between logit and probit models is a
matter of personal preference (although in case of -mlogit- and
-mprobit-, there huge differences, of course).

On Fri, Aug 12, 2011 at 4:03 AM, Charles Vellutini
<charles.vellutini@ecopa.com> wrote:
> Hi all,
>
> I need to estimate a probit model starting with a very large number of candidate explanatory variables -this is essentially a data mining, a-theoretical context. I therefore need a robust approach to variable selection.
>
> I am aware of the plogit package, which implements penalized estimators for the logistic model (including lasso), but I did not find similar estimators for the probit model. Is anyone aware of one?
>
> Failing that, what about using the plogit package to do the variable selection bit and then run a regular probit on the selected model?
>
> Thanks
>
> Charles Vellutini
> charles.vellutini@ecopa.com
> ECOPA
>
>
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index