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RE: st: Unobserved heterogeneity in logistic regression


From   "daniel waxman" <dan@amplecat.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Unobserved heterogeneity in logistic regression
Date   Mon, 30 Jan 2006 18:55:13 -0500

Thanks for the reeply.  I am in the process of checking this all out.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Richard Williams
Sent: Monday, January 30, 2006 11:10 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Unobserved heterogeneity in logistic regression

At 10:43 AM 1/30/2006, daniel waxman wrote:
>Maartin Buis directed me to a short paper of his:  "Unobserved
heterogeneity
>in logistic regression":
>
>http://home.fsw.vu.nl/m.buis/
>
>The concept makes sense--the question is what to do about it.

Allison has a paper on this which includes a proposed solution:

Allison, P.D. 1999a. Comparing logit and probit coefficients across 
groups. SMR/Sociological Methods & Research 28(2): 186-208.

Glenn Hoetker has a working paper that discusses Allison's method:

CONFOUNDED COEFFICIENTS: EXTENDING RECENT ADVANCES IN THE ACCURATE 
COMPARISON OF LOGIT AND PROBIT COEFFICIENTS ACROSS GROUPS

It is at

http://www.business.uiuc.edu/ghoetker/documents/Hoetker_comp_logit.pdf

Hoetker also has a Stata program that implements Allison's method. 
 From within Stata type

net from http://www.business.uiuc.edu/ghoetker

Having said all that - I think both Allison and Hoetker do a great 
job of illustrating the problem - but I think Allison's solution has 
problems of its own.  I think it can be easily fooled and offer 
misleading and incorrect results under certain 
conditions.  Unfortunately, I haven't been able to come up with 
anything better yet!  I too would be interested in hearing if there 
are other solutions out there.



-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
FAX:    (574)288-4373
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW (personal):    http://www.nd.edu/~rwilliam
WWW (department):    http://www.nd.edu/~soc 

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