# Questions tagged [probit]

This refers generally to statistical procedures that utilize the probit function. The primary example of which is probit regression where the probit transformation of the parameter p of a binary response distribution is used as a link.

318 questions
Filter by
Sorted by
Tagged with
23 views

### After running a probit, how can I generate the margins for the whole distribution?

I'm using Stata. I ran a probit of the form $$\text{outcome}_i = \beta \ f(\text{income}_i) + \gamma\text{ Controls}_i$$ Where $f(\text{income}_i)$ is a fractional polynomial. I'm interested on the ...
9 views

### In probit model, why demeaning the data of a regressor lead to no change in numerical values for estimated coefficients except for the constant?

Supppose I have data $\{Y_i,X_{1i},X_{2i}\}_{i=1}^{n}$ generated by model $Y_i=\mathbf{1}(a+b_1X_{1i}+b_2X_{2i}>e_i)$, where $\mathbf{1}(\cdot)$ is the indicator function. I try to estimate this ...
12 views

### Probit Models - Statistical Significance and the Number of Observations

I'm currently completing a series of probit regressions where the dependent variable takes the value 0 or 1 depending on whether a civil war was experienced by that country in that year (panel data) I ...
6 views

### A question about normalization in probit model (binary response model with normal error)

Suppose I have data on $\{Y_i,X_{1i},X_{2i}\}_{i=1}^{N}$ and the data generating process is $Y_i=\mathbf{1}(\beta_1X_{1i}+\beta_2X_{2i}>e_i)$, where $e_i\sim N(0,\sigma^2)$. Usually, we do a ...
30 views

### Is probit transformation the same as probability integral transform?

The image shows the original marginal data $u$ and $v$ on the left, which has a bounded support, and their probit transformations $r$ and $s$ on the right, which has an unbounded support. The ...
8 views

### Item response theory with any cdf link

The IRT applications mostly use as link functions the logit and the probit, which are the cumulative distribution function (cdf) of the logistic and normal distributions, the resulting models gives ...
13 views

### Formula of a zero-inflated negativ binomial with link to probit

I'm looking for the right notation of the probit linkfunktion in a zero-inflated negative binomial. g is the negative binomial and π the link function. Thank you very much!
21 views

### IV changes the sign of exogenous variable

After implementing an IV probit model, the signs of many exogenous covariates' coefficients have been flipped, compared to those in the baseline probit model. These signs are now at odds with the past ...
27 views

26 views

### All else equal, should an MLE estimation have a lower standard error than OLS?

If I have a model with Y$\in${0,1}, and am estimating y= $\beta$x+$\eta$ My understanding is if I use a probit model say, I am imposing structure on the DGP by assuming Y|x=$\eta$ is distributed ...
11 views

### Two stage model where both dependent variables are dichotomous

New here so apologies if I do not explain myself as well as I should. I have survey data of 2 decisions that participants make: the decision to vaccinate themselves (yes/no) and their children (yes/...
44 views

### Running a Monte carlo simulation of a probit model on Stata

I am trying to run a MC simulation for a probit model on Stata using existing variables. In all the examples I saw, the authors generate the regressors (generally only one) as well as y* and y=(y*>0) ...
28 views

### probit prediction and calculation of the standard error of its difference in R

I'm a beginner in using R. I want to know how to calculate the standard errors of the difference between predicted outputs. Please read through the below. I hope you can get what I mean. Below is ...
36 views

### Probit function, Difference in difference approach, Standard errors in R

I'm a novice R user. I'm dealing with some CPS data to evaluate how labor force participation of single female with children changed in response to some policy implementation. The below is my ...
10 views

### GEEGLM binomial modelling with Probit or logit

I am fitting a GEE model in R (multivariate binomial) There are no repeated measures and assume there is a within cluster correlation. If I use a probit link, do I have to exponentiate the output ...
17 views

### Is the random slope for a binary, categorical variable in a mixed model also reported in reference to one of the categories?

I'm wondering if I should be interpreting an estimated random slope for a binary categorical variable in the same way that I should be interpreting it if it were a fixed effect. That is, is it ...
20 views

### Calculate/understand the total sample mean of a binary dependent variable from the fixed effect estimates of a model?

was hoping you could help me to understand the model that I have just fit; in particular, I'm interested in the calculus of how the fixed estimates fit back together to make estimates for total sample ...
133 views

### Comparison of logit and probit estimations

There are a lot of questions concerning logit and probit relations (led by 20523), but I'm still confused with a seemingly simple issue. On the one hand, often we see that for 'rule-of-thumb' ...
9 views

Is there a statistical model that can study determinants of network linkage formation? For a set of companies (where we observe their industry, annual revenue, etc), we see which pairs are connected ...
8 views

### Regression analysis of the inverse probability function of a Probability of Default

I have come across some econometric regression models which instead of using the Probability of Default (for Credit Risk purposes) of certain loans, -or instead using logistic regression analysis of ...
36 views

### truncated model estimation, on an interval of unobserved variable Y*

$Pr[L<Y^*<U]=Pr[Y^*<U]-Pr[Y^*<L]$ $=F^*(U)-F^*(L)$ $lnL_n(\theta)=\sum_{i=1}^nd_iln[F^*(U|x_i,\theta)-F^*(L|x_i,\theta)]$ ^is the above likelihood function appropriate for ...
42 views

### Converting probit coefficients into effect sizes for meta-analysis

I am conducting a meta-analysis but the raw study coefficients are probit coefficients. I am planning to convert these to log odds to meta-analyse through the formula: 1.61 * probit_coefficient. Q1) ...
26 views

### Can one estimate a probit regression using OLS? Or it has to be done with maximum likelihood?

Can one estimate a probit regression using OLS? Or it has to be done with maximum likelihood? One could take the inverse cumulative probability distribution function and calculate the probability, ...
35 views

### Simulate probit model using values of the latent variable

I am trying to simulate a probit model using a latent variable Z of the following form: \begin{aligned} y_{i} & = \begin{cases} 1 & \; \text{if } z_{i} > 0\\ 0 & \; \text{if } ...
38 views

### Not recovering true coefficient with recursive bivariate probit model on simulated data

I have built a simulated dataset to try to build my intuition about the recursive bivariate probit model. The challenge I'm running into is that I'm unable to recover the true coefficient in my ...
68 views

### Can the output of a probit regression with a Z-score predictor be interpreted as a standardised effect size?

I want to obtain a standardised effect size for a regression with a binary outcome. If I standardise the (continuous) predictor and run a probit regression, the resulting coefficient can be ...
147 views

### How to compute Average partial effects?

If we have a model like this: $$\hat {Prob}(Y=1|X) = F(\hat \beta_0 + \hat \beta_1 age + \hat \beta_2 education + \hat \beta_3 salary)$$ (suppose education is a scalar variable here) where $F$ is a ...
90 views

### Logit - probit regression

I was running regression of - determinants of acceptance into a social science college. I found this unrelated paper (Screenshot of relevant page attached herewith). Here, they have computed logit and ...
31 views

### Why does the scaled probit function coincide with the logistic sigmoid function at lambda = pi/8?

I'm currently working through through "Pattern Recognition and Machine Learning" by Christopher Bishop, and chanced upon this question while working towards my finals: My two questions are: ...
27 views

### What is the econometric unordered (alternative-specific) multinomial probit model?

Possibly a very trivial question, however I am somehow unable to find any mathematical definition of this model. From other posts on this website I perfectly understand the difference between an ...
13 views

### signification of average partial effect in probit regression

Consider the probit regression: where "yi" and "di" are dummy variables and "xi" is a continuous scalar regressor. Is the following statement true? Even if the coefficient estimates "B1" and "B3" are ...
288 views

### CDF for a probit model

The cdf for a probit model is: $$\Phi(\varepsilon)=\int_{-\infty}^\varepsilon \frac{1}{\sqrt{2\pi}} \exp\left(-\frac{t^{2}}{2}\right) \, dt$$ My very simply question—that I should know the answer ...
53 views

### Understand the Holmes and Held (2006) Bayesian probit MCMC algorithm

Holmes and Held (2006) suggest a simple approach to reduce autocorrelation in the MCMC algorithm proposed by Albert and Chib (1993). HH (2006) propose to update $\beta$ and $z$ jointly, making use of ...
38 views

### Adapting weights for a glm() binomial regression [closed]

I've been facing a common problem. I can't use my dataset’s weights to estimate a binomial family model. I've been using the glm() function to estimate a probit model, but when my weights variable is ...
29 views

### Confused about motivation for variable selection - probit model

I am running a probit regression which aims to determine which variables influence whether a graduate feels 'mismatched' (e.g. not using the qualification they've learned) in their job. We are using ...
67 views

In probit models the latent variable is assumed to be of the form: $y=\alpha+\beta x+\epsilon$ with $\epsilon \sim N(0,1)$. What if instead $\epsilon \sim N(0,\sigma^2)$? Is there a way to estimate $... 1answer 280 views ### Why margins and mfx yield different results in R? When I run a simple logit regression between a binary variable$y$over another binary variable$x$, the average marginal effects obtained by the function logitmfx (... 0answers 106 views ### Calculating pseudo-$R^2\$ for out-of-sample probit model forecasts

I'm trying to replicate parts of: Estrella, A., & Mishkin, F. S. (1998). Predicting U.S. Recessions: Financial Variables as Leading Indicators. Review of Economics and Statistics, 80(1), 45–61. ...
41 views

### Comparison between Logit and Probit models [duplicate]

I'm new in econometrics and I'm working in a probabilistic model and using Stata for this, but when I was going to compare the Logit and Probit I did not know which one win in this case, because there ...
58 views

### help determining ROPE for bayesian multilevel probit model

I am having difficulty determining a justifiable region of practical equivalence (ROPE) for a parameter from a multilevel probit model Below is the posterior distribution for the fixed-effect of ...
103 views

### Sample selection bias and logistic regression

I am struggling with possible sample selection bias at the moment, and I was wondering whether someone has a methodological tip or possibly knows of fancy statistical/econometric tools I could use to ...
112 views

### Interpretation of interaction term in a probit estimation

I know this question may be duplicate but I don't find any answer that I could understand. I am running panel probit estimations. Estimations include interaction terms that I am able to interpret. ...
1k views

### How to estimate a bivariate probit (biprobit) model in R with a different set of explanatory variables? [closed]

I'm trying to estimate a bivariate probit model (also called biprobit model) in R where the set of explanatory variables is different for both binary outcomes. Thus, my setting is: \begin{align} Y_1^*...