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From |
Arild Blekesaune <[email protected]> |

To |
"[email protected]" <[email protected]> |

Subject |
st: Omitted Variable in Logit Model |

Date |
Sun, 24 Nov 2013 01:34:40 +0000 |

Dear Statalisters, I try to estimate the effects of an omitted variable x2, and by the Law of Iterated Expectations I expect the following probability (after having expected out x2, that is, averaged the probability over the values of x2): P(D=1|x1, x2 accounted for as an unobservable) = P(x2=0)*exp(b0 + b1*x1)/[1 + exp(b0 + b1*x1)] + P(x2=1)*exp(b0 + b1*x1 + b2)/[1 + exp(b0 + b1*x1 + b2)] = (1-p)*exp(b0 + b1*x1)/[1 + exp(b0 + b1*x1)] + p*exp(b0 + b1*x1 + b2)/[1 + exp(b0 + b1*x1 + b2)] If the omitted variable x2 is equal to 0, the correct logit equation is: P(D=1|x1,x2=0) = exp(b0 + b1*x1)/[1 + exp(b0 + b1*x1)] If the omitted variable x2 is equal to 1, the correct logit equation is: P(D=1|x1,x2=1) = exp(b0 + b1*x1 + b2)/[1 + exp(b0 + b1*x1 + b2)] Can any of you tell me what is wrong with this attempt: input y x1 x2 N 0 0 0 50 1 0 0 50 0 1 0 40 1 1 0 60 0 0 1 60 0 1 1 40 1 0 1 50 1 1 1 50 end expand N in 1/8 program define user_logit args lnf theta1 theta2 tempvar p P_11 P_10 P_1 P_0 quietly gen double `P_11' = (exp(`theta1')/(1+exp(`theta1')))*`p' quietly gen double `P_10' = (exp(`theta2')/(1+exp(`theta2')))*(1-`p') quietly gen double `P_1' = `P_11'+`P_10' quietly gen double `P_0' = (1-`P_11')+(1-`P_10') quietly replace `lnf' = $ML_y1*ln`P_1'+(1-$ML_y1)*ln`P_0' end ml model lf user_logit (y = x1 x2) (y = x1) ml maximize Thank you very much for any help. Sincerely, Arild Blekesaune * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Omitted Variable in Logit Model***From:*Maarten Buis <[email protected]>

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