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From |
Robson Glasscock <glasscockrc@vcu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Regression Across Two Groups |

Date |
Tue, 13 Dec 2011 15:03:59 -0500 |

Like Nick, I was also surprised. The original example given seems like a case where a dummy variable for foreign and an interaction term would allow Muhammad to test what he wants. Are you sure you want to test this with a limited dependent variable model, Muhammad? best, Robson Glasscock On Tue, Dec 13, 2011 at 2:40 PM, Cameron McIntosh <cnm100@hotmail.com> wrote: > Maarten, > Thanks for your comments. My understanding is that the residual variance difference term is only identifiable for situations with groups (or time points) > 1. Essentially, the term is fixed in the first group but left free in the second, so the first group becomes a "reference category", and the estimate of epsilon_squared for the second group is actually the difference in unobserved residual variation (the same approach is taken in multiple group factor analysis for estimating latent means). I seem to recall that this is somewhat similar in motivation to a more complicated work-around proposed by Allison (1999) in his classic paper I cited earlier in this thread. Unfortunately, I know of no detailed documentation on Muthen/Asparouhov's approach, other than what is mentioned in the manual and occasionally on the Mplus discussion list (www.statmodel.com), but I have been assuming that given the originators' reputations, it's kosher. > Best regards, > Cam > ---------------------------------------- >> Date: Tue, 13 Dec 2011 19:04:26 +0100 >> Subject: Re: st: Regression Across Two Groups >> From: maartenlbuis@gmail.com >> To: statalist@hsphsun2.harvard.edu >> >> On Tue, Dec 13, 2011 at 6:44 PM, Cameron McIntosh wrote: >> > I will note that one of the easiest ways to do this is via the Mplus package (www.statmodel.com), which through a special THETA parameterization allows the difference in residual variance to be directly estimated for the multi-group case in both logit and probit models. Thus, cross-group differences in residual variation will not be absorbed by the model coefficients, and not confound the comparison. >> >> I find that rather suspect: The residuals we are talking here about >> are the differences between the latent (and thus unobserved) variable >> and the predicted probability. The only information in the data >> concerning any patterns in the variance of these residuals is in the >> form the fit of a model with a more complex functional form for the >> relationship between the explanatory variables on the probability of >> success. So I find it hard to see how one could separate the >> estimation of the parameters from the estimation of patterns in the >> residual variance. As a consequence, these models tend to be very >> (i.e. way too) sensitive to model specification. Moreover, the >> difference between the complex functional form and the "regular" >> functional form are really subtle, which means that there is very >> little information from the data that these models can use. In >> essence, the problem is real and it cannot be solved. >> >> -- Maarten >> >> -------------------------- >> Maarten L. Buis >> Institut fuer Soziologie >> Universitaet Tuebingen >> Wilhelmstrasse 36 >> 72074 Tuebingen >> Germany >> >> >> http://www.maartenbuis.nl >> -------------------------- >> >> * >> * 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/ > > * > * 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/ * * 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/

**References**:**st: Regression Across Two Groups***From:*Muhammad Anees <anees@aneconomist.com>

**RE: st: Regression Across Two Groups***From:*Cameron McIntosh <cnm100@hotmail.com>

**Re: st: Regression Across Two Groups***From:*Muhammad Anees <anees@aneconomist.com>

**RE: st: Regression Across Two Groups***From:*Cameron McIntosh <cnm100@hotmail.com>

**Re: st: Regression Across Two Groups***From:*Muhammad Anees <anees@aneconomist.com>

**RE: st: Regression Across Two Groups***From:*Cameron McIntosh <cnm100@hotmail.com>

**Re: st: Regression Across Two Groups***From:*Maarten Buis <maartenlbuis@gmail.com>

**RE: st: Regression Across Two Groups***From:*Cameron McIntosh <cnm100@hotmail.com>

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