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Re: st: heteroskedasticity and serial correlation in binary choice models


From   A. Berâ <abdullahbera@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: heteroskedasticity and serial correlation in binary choice models
Date   Thu, 5 Jan 2012 17:02:56 +0200

Hello Maarten and Cam,

Thanks for your replies. From the references you mentioned, I
understand that the issue dealt with is the comparison of coefficients
across groups.

I am estimating a model with logit using time series data and I have
only one continuous independent variable. Basically, I would like to
look at the correlation between my independent variable and the
probability of occurrence of 1s in the dependent variable.

I checked some textbooks and haven't seen any reference to serial
correlation in binary choice models.

Is serial correlation and/or heteroskedasticity problem here?  And
what can be done about it? I understand that robust standard errors
are available in logit and user written OGLM can deal with
heteroskedasticity, but what about serial correlation?

Thank you.

a.b.


On Thu, Dec 29, 2011 at 5:22 PM, Cameron McIntosh <cnm100@hotmail.com> wrote:
> I might also recommend:
> Fielding, A. (2004). Scaling for residual variance components of ordered category responses in generalised linear mixed multilevel models. Quality and Quantity, 38, 425-433.
>
> Bauer, D.J. (2009). A note on comparing the estimates of models for cluster-correlated or longitudinal data with binary or ordinal outcomes. Psychometrika, 74(1), 97-105.
>
> Allison, P.D. (1999). Comparing logit and probit coefficients across groups. Sociological Methods & Research, 28(2), 186-208.
>
> Karlson, A.K.B., Holm, A., & Breen, R. (August 12, 2010). Comparing Regression Coefficients Between Models using Logit and Probit: A New Method. CSER Working Paper Series, WP No. 0003. Centre for Strategic Educational Research. Aarhus, Denmark: DPU, Aarhus University.http://www.cser.dk/fileadmin/www.cser.dk/wp_003kbkkkjrb.pdf
> Mood, C. (2010). Logistic regression: Why we cannot do what we think we can do, and what we can do about it. European Sociological Review, 26(1), 67-82.
> Williams, R. (September 2011). Comparing Logit and Probit Coefficients between Models and Across Groups. Notre Dame Sociology.http://nd.edu/~rwilliam/stats/Oglm.pdf
>
> Long, J.S. (2009). Group Comparisons in Logit and Probit Using Predicted Probabilities. Working paper draft 2009-06-25http://www.indiana.edu/~jslsoc/files_research/groupdif/groupwithprobabilities/groups-with-prob-2009-06-25.pdfhttp://www.indiana.edu/~jslsoc/research_groupdif.htm
> Cam
>
>> Date: Thu, 29 Dec 2011 16:01:57 +0100
>> Subject: Re: st: heteroskedasticity and serial correlation in binary choice models
>> From: maartenlbuis@gmail.com
>> To: statalist@hsphsun2.harvard.edu
>>
>> On Thu, Dec 29, 2011 at 3:26 PM, A. Berâ wrote:
>> >   How do we deal with heteroskedasticity and serial correlation in
>> > binary choice models? Are there Stata commands for testing and
>> > correcting these problems? Thanks in advance for any herp.
>>
>> <http://www.stata.com/statalist/archive/2010-11/msg00996.html>
>>
>> Hope this helps,
>> Maarten
>>
>> --------------------------
>> Maarten L. Buis
>> Institut fuer Soziologie
>> Universitaet Tuebingen
>> Wilhelmstrasse 36
>> 72074 Tuebingen
>> Germany
>>
>>
>> http://www.maartenbuis.nl
>> --------------------------
>>
>> *
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-- 
abdullah berâ

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