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Re: st: Comparison of coefficients across groups


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparison of coefficients across groups
Date   Fri, 09 Mar 2012 11:34:03 -0500

At 10:48 AM 3/9/2012, Alina Rusakova wrote:
Dear all,

I use -suest- in order to compare probit coefficients across groups and the results suggest that there are no significant differences in a variable of interest across groups. However, a coefficient is significant in one group and it is not significant in another group. Given that this coefficient does not vary across groups, how can I iterpret the results? Can I infer that the variable of interest is important only for one, but not for another group?

There are any number of issues here.

First, group comparisons involving probit and logit coefficients are potentially problematic in the first place. See

http://www.nd.edu/~rwilliam/stats/Oglm.pdf

and the sources it cites.

Second, to say that an effect is statistically insignificant is not the same as saying it is 0. It just means that you can't rule out 0 as a possible value. You also can't rule out the variable having even larger effects than those estimated.

Third, differences in statistical significance might reflect, say, differences in sample size. If you have 1,000 people in the first group and only 100 people in the 2nd group, it will be easier to find significant effects in the first group.

If this were an OLS regression, I would NOT conclude "that the variable of interest is important only for one, but not for another group." The effects do not significantly differ across groups. Given that it is a probit model, I'd be careful about making the comparison in the first place, unless maybe I was trying one or more of the approaches listed in the above pdf file.


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Richard Williams, Notre Dame Dept of Sociology
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