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    I. Comparing Coefficients Across Models

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    This document discusses comparing coefficients across logit and probit regression models. It presents results from regressing a binary outcome variable on single and multiple predictor variables. Standardized coefficients are reported to allow for comparison of effects across variables with different scales. Decomposition methods are also demonstrated for assessing direct and indirect effects in models with multiple predictor variables.

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    I. Comparing Coefficients Across Models

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    This document discusses comparing coefficients across logit and probit regression models. It presents results from regressing a binary outcome variable on single and multiple predictor variables. Standardized coefficients are reported to allow for comparison of effects across variables with different scales. Decomposition methods are also demonstrated for assessing direct and indirect effects in models with multiple predictor variables.

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    This document discusses comparing coefficients across logit and probit regression models. It presents results from regressing a binary outcome variable on single and multiple predictor variables. Standardized coefficients are reported to allow for comparison of effects across variables with different scales. Decomposition methods are also demonstrated for assessing direct and indirect effects in models with multiple predictor variables.

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    56 views2 pages

    I. Comparing Coefficients Across Models

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    陈文源
    This document discusses comparing coefficients across logit and probit regression models. It presents results from regressing a binary outcome variable on single and multiple predictor variables. Standardized coefficients are reported to allow for comparison of effects across variables with different scales. Decomposition methods are also demonstrated for assessing direct and indirect effects in models with multiple predictor variables.

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    Comparing Logit and Probit Coefficients between Models

    Richard Williams, Notre Dame Sociology, [email protected]


    http://www.nd.edu/~rwilliam/
    August 2012 Annual Meetings of the American Sociological Association
    Last revised March 24, 2019

    I. Comparing coefficients across models


    V ( y*) = V (α + xβ ) + V (ε y* ) = V (α + xβ ) + π 2 / 3 = V (α + xβ ) + 3.29

    . quietly logit ybinary x1


    . listcoef, std

    logit (N=500): Unstandardized and Standardized Estimates

    Observed SD: .50035659


    Latent SD: 2.3395663

    Odds of: 1 vs 0

    -------------------------------------------------------------------------------
    ybinary | b z P>|z| bStdX bStdY bStdXY SDofX
    -------------+-----------------------------------------------------------------
    x1 | 0.73887 10.127 0.000 1.4777 0.3158 0.6316 2.0000
    -------------------------------------------------------------------------------

    . quietly logit ybinary x2


    . listcoef, std

    logit (N=500): Unstandardized and Standardized Estimates

    Observed SD: .50035659


    Latent SD: 2.3321875

    Odds of: 1 vs 0

    -------------------------------------------------------------------------------
    ybinary | b z P>|z| bStdX bStdY bStdXY SDofX
    -------------+-----------------------------------------------------------------
    x2 | 0.48868 10.134 0.000 1.4660 0.2095 0.6286 3.0000
    -------------------------------------------------------------------------------

    . quietly logit ybinary x1 x2


    . listcoef, std

    logit (N=500): Unstandardized and Standardized Estimates

    Observed SD: .50035659


    Latent SD: 5.3368197

    Odds of: 1 vs 0

    -------------------------------------------------------------------------------
    ybinary | b z P>|z| bStdX bStdY bStdXY SDofX
    -------------+-----------------------------------------------------------------
    x1 | 1.78923 9.815 0.000 3.5785 0.3353 0.6705 2.0000
    x2 | 1.17314 9.714 0.000 3.5194 0.2198 0.6595 3.0000
    -------------------------------------------------------------------------------

    Comparing Logit & Probit Coefficients…Richard Williams, ASA 2012 Page 1


    . corr, means

    (obs=500)

    Variable | Mean Std. Dev. Min Max


    -------------+----------------------------------------------------
    y | 5.51e-07 3.000001 -8.508021 7.981196
    ybinary | .488 .5003566 0 1
    x1 | -2.19e-08 2 -6.32646 6.401608
    x2 | 3.57e-08 3 -10.56658 9.646875

    | y ybinary x1 x2
    -------------+------------------------------------
    y | 1.0000
    ybinary | 0.7923 1.0000
    x1 | 0.6667 0.5248 1.0000
    x2 | 0.6667 0.5225 0.0000 1.0000

    . webuse nhanes2f, clear


    . khb logit diabetes black || weight

    Decomposition using the KHB-Method

    Model-Type: logit Number of obs = 10335


    Variables of Interest: black Pseudo R2 = 0.02
    Z-variable(s): weight
    ------------------------------------------------------------------------------
    diabetes | Coef. Std. Err. z P>|z| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    black |
    Reduced | .6038012 .1236714 4.88 0.000 .3614098 .8461926
    Full | .5387425 .1241889 4.34 0.000 .2953368 .7821483
    Diff | .0650587 .0132239 4.92 0.000 .0391403 .0909771
    ------------------------------------------------------------------------------

    . khb logit jobenjoy race || gpa ses sex educjob educimportant luckimportant sbprevent

    Decomposition using the KHB-Method

    Model-Type: logit Number of obs = 6731


    Variables of Interest: race Pseudo R2 = 0.08
    Z-variable(s): gpa ses sex educjob educimportant luckimportant sbprevent

    jobenjoy Coef. Std. Err. z P>|z| [95% Conf. Interval]

    race
    Reduced -.5727334 .10607 -5.40 0.000 -.7806269 -.3648399
    Full -.4833004 .1095584 -4.41 0.000 -.6980309 -.26857
    Diff -.089433 .0349898 -2.56 0.011 -.1580117 -.0208542

    Comparing Logit & Probit Coefficients…Richard Williams, ASA 2012 Page 2

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