Maarten buis wrote:
>>The differences are very minor, I believe that the tails are slightly
fatter for the logistic distribution than the normal (or was it the
other way round?),<<
Nope, you're right. The logit is like a t(10). The Cauchy is, of course,
a t(1). Thus, in terms of kurtosis, probit < logit < cauchit. (I don't
think Stata has a built-in cauchit link but -gologit2- does, if I recall
correctly.) Roger Koenker had a very nice paper on this:
http://www.econ.uiuc.edu/~roger/research/links/links.html
>>anyhow you won't find any difference with only 60 observations.
Nope.
>>So your choice should be quided by convenience and conventions in your
discipline. I like -logit- because I like odds ratios, but economists
tend to like -probit-.<<
Economists seem like probit because they like the normal distribution
for random utility models. Of course, you can use a logit random utility
model, too, if the random utilities are Type I extreme value. The
multivariate normal is "nicer" in some respects because of its closure
properties.
JV
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