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From |
Richard Williams <richardwilliams.ndu@gmail.com> |

To |
statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Regression Across Two Groups |

Date |
Tue, 13 Dec 2011 15:29:07 -0500 |

At 01:04 PM 12/13/2011, Maarten Buis wrote:

On Tue, Dec 13, 2011 at 6:44 PM, Cameron McIntosh wrote:> I will note that one of the easiest ways to do this is via theMplus package (www.statmodel.com), which through a special THETAparameterization allows the difference in residual variance to bedirectly estimated for the multi-group case in both logit andprobit models. Thus, cross-group differences in residual variationwill not be absorbed by the model coefficients, and not confoundthe comparison.I find that rather suspect: The residuals we are talking here about are the differences between the latent (and thus unobserved) variable and the predicted probability. The only information in the data concerning any patterns in the variance of these residuals is in the form the fit of a model with a more complex functional form for the relationship between the explanatory variables on the probability of success. So I find it hard to see how one could separate the estimation of the parameters from the estimation of patterns in the residual variance. As a consequence, these models tend to be very (i.e. way too) sensitive to model specification. Moreover, the difference between the complex functional form and the "regular" functional form are really subtle, which means that there is very little information from the data that these models can use. In essence, the problem is real and it cannot be solved. -- Maarten

------------------------------------------- Richard Williams, Notre Dame Dept of Sociology OFFICE: (574)631-6668, (574)631-6463 HOME: (574)289-5227 EMAIL: Richard.A.Williams.5@ND.Edu WWW: http://www.nd.edu/~rwilliam * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Regression Across Two Groups***From:*Muhammad Anees <anees@aneconomist.com>

**RE: st: Regression Across Two Groups***From:*Cameron McIntosh <cnm100@hotmail.com>

**Re: st: Regression Across Two Groups***From:*Muhammad Anees <anees@aneconomist.com>

**RE: st: Regression Across Two Groups***From:*Cameron McIntosh <cnm100@hotmail.com>

**Re: st: Regression Across Two Groups***From:*Muhammad Anees <anees@aneconomist.com>

**RE: st: Regression Across Two Groups***From:*Cameron McIntosh <cnm100@hotmail.com>

**Re: st: Regression Across Two Groups***From:*Maarten Buis <maartenlbuis@gmail.com>

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