Comparing Logit and Probit Coefficients between Models
Richard Williams, Notre Dame Sociology, rwilliam@[Link]
[Link]
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