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Re: st: comparing logistic regression coefficients between models

 From Herb Smith <[email protected]> To [email protected] Subject Re: st: comparing logistic regression coefficients between models Date Tue, 23 Jan 2007 22:31:34 -0500 (EST)

```And a second thought....  the comparison of coefficients across logit
equations can be tricky for reasons having nothing to do with getting the
right standard errors.  Even if the dropped variables are uncorrelated
with the regressor that you are interested in, the value of the
coefficient for that regressor may change since there is no set variance
for the latent variable being mapped onto the observed dichotomy (and
identification is typically achieved by setting the error variance at 1 in
both equations...)  So even if you in some sense reject the hypothesis
that a coefficient for a given variable is the same in two different
equations, it is tough to rule out the possibility that the coefficient
values might not be the same under alternative normalizations.  Cameron
and Heckman 1998 hammer on this point from a slightly different angle, and
see the recent papers by Hauser and Mare in *Soc Meth 2006*

Professor of Sociology and
Director, Population Studies Center
230 McNeil Building
3718 Locust Walk CR
University of Pennsylvania
Philadelphia, PA  19104-6298

[email protected]

215.898.7768 (office)
215.898.2124 (fax)

On Tue, 23 Jan 2007, Herb Smith wrote:

> Wendy,
>
> 	Ah, takes me back to a discussion with Cliff in 1989 about this.
> He posed the problem of a test.  I said, "Why not bootstrap it?"  But
> Cliff was a real statistician, and wanted a formal solution....
>
> 	Alas, Cliff is no longer with us and can't defend himself, but I
> still bootstrap in these situations.  That is, estimate both equations,
> calculate the difference between the coefficients... and then do it over
> and over again, with new samples.  Too fogged right now to think through
> the three or four lines necessary, but if no one comes up with it by
> tomorrow I will find where I have done it before or make up a new one.
>
> 	I would be interested, too, however, if anyone has programmed the
> ideas in the *AmJrnlSoc* paper.  These were expanded on by Sobel in *Soc
> Meth 1996* in an encomium to Clogg....
>
> 	Best,
>
> 	--Herb
>
> Professor of Sociology and
> Director, Population Studies Center
> 230 McNeil Building
> 3718 Locust Walk CR
> University of Pennsylvania
> Philadelphia, PA  19104-6298
>
> [email protected]
>
> 215.898.7768 (office)
> 215.898.2124 (fax)
>
> On Tue, 23 Jan 2007, Wendy Manning wrote:
>
> > I would like to compare coefficients - on the same independent variable -
> > between two nested logistic regression models using STATA.  I would like to
> > test whether the two coefficients are significantly different from one
> > another.  In SAS this can be done using the proc iml commands.  I was
> > wondering if anyone has worked up some STATA commands. Clogg et al. 1995 in
> > AJS describe the statistics.
> >
> > *
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> > *   http://www.ats.ucla.edu/stat/stata/
> >
> *
> *   For searches and help try:
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>
*
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```

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