Re: st: comparing logistic regression coefficients between models

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 10:31 PM 1/23/2007, Herb Smith wrote:
> And a second thought....  the comparison of coefficients across logit
> equations can be tricky for reasons having nothing to do with getting the
> right standard errors.  Even if the dropped variables are uncorrelated
> with the regressor that you are interested in, the value of the
> coefficient for that regressor may change since there is no set variance
> for the latent variable being mapped onto the observed dichotomy (and
> identification is typically achieved by setting the error variance at 1 in
> both equations...)  So even if you in some sense reject the hypothesis
> that a coefficient for a given variable is the same in two different
> equations, it is tough to rule out the possibility that the coefficient
> values might not be the same under alternative normalizations.  Cameron
> and Heckman 1998 hammer on this point from a slightly different angle, and
> see the recent papers by Hauser and Mare in *Soc Meth 2006*
I have a couple of handouts that illustrate this issue:

http://www.nd.edu/~rwilliam/xsoc73994/l05.pdf

http://www.nd.edu/~rwilliam/xsoc73994/l06.pdf


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Richard Williams, Notre Dame Dept of Sociology
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