Re: st: probit vs. logit

[Richard Williams <richardwilliams.ndu@gmail.com>]

At 09:17 AM 5/25/2010, Nick Winter wrote:
> I'll go further -- I've never seen a case where the choice of one or 
> the other makes *any* substantive difference in the substantive 
> effects estimated.  (That is, in predicted probabilities or in the 
> impact of IVs on those probabilities.)
>
> I'd also say that if you find an example where your conclusions do 
> differ, you would then be forced to make a choice based on theory 
> about the precise nature of unobserved disturbances -- I seriously 
> doubt most field have theories precise enough to make that choice 
> with any confidence.

I had a prominent economist tell me once that he thought probit was 
much better, but he didn't say why.  Like you, I've never seen a case 
where it made much substantive difference.  It is more a matter of 
disciplinary practices or personal preference.  I don't know if it is 
true or not, but I think somebody on this list once said that you 
would need several million cases to empirically distinguish between 
logit and probit.

However, when you get into more advanced techniques, there can be 
good reasons for preferring one link over the other.  For example, as 
far as I know, there are no logistic counterparts to biprobit or 
ivprobit.  I don't know if that is because the routines have not been 
written or if such routines are impossible to estimate or much more 
difficult to program.


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Richard Williams, Notre Dame Dept of Sociology
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