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mzuba
  • Member for 13 years, 5 months
  • Last seen more than a month ago
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Difference between logit and probit models
Your interpretation of the log odds is wrong. You describe relative risk, but exponentiated coefficients give odds ratios. Those who smoke >25 cigarettes a day have 6 times higher odds to die before age 65.
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How to choose between logit, probit or linear probability model?
"The statistical arguments against the use of linear regression with a binary dependent variable are not as decisive as it is often claimed. Even if the homoscedasticity assumption is violated, this in practice has little effect on the outcome of significance tests. The results for linear and logistic significance probabilities as we have seen turn out to be nearly identical, even with small samples and skewed distributions on the dependent variable." – Hellevik 2009: Linear versus logistic regression when the dependent variable is a dichotomy, Quality & Quantity 43(1):59-74
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Random walk with drift in dynamic linear model
@user2338823 yes, you are correct
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