On 9/1/06, Clive Nicholas <[email protected]> wrote:
I'd like to add to Rich's valuable tips on getting the best out of
-mprobit- by tackling Nishant's comment that, given his data and model, he
makes no distinction between -mlogit- and -mprobit- on 'theoretical'
grounds.
I've been thinking that -mlogit- uses the sufficient statistic
principle that is characteristic of exponential family, and assumes
uncorrelated "errors" that have some sort of extreme value
distribution; while -mprobit- assumes random errors that have a
multivariate normal distribution with (possibly) correlated errors.
Integration over those errors can be performed analytically in the
case of -mlogit- with a simpler error structure, but has to be done
numerically in the case of -mprobit-. Any microeconometricians out
there (real ones unlike me) to comment on that?
--
Stas Kolenikov
http://stas.kolenikov.name
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