Re: st: probit vs. logit

[Maarten buis <maartenbuis@yahoo.co.uk>]

--- On Tue, 25/5/10, Michael N. Mitchell wrote:
> I agree with Martin, that <snip>
http://www.stata.com/statalist/archive/2010-02/msg00840.html
 
> If someone gets picky with you and really wants to see a
> comparison of the model fit of the two models, I think you
> could use -estimates store- and -estimates stats- (as shown
> below) to compare the fit of the models using the AIC and/or
> BIC (where a smaller value means better fit). As in the
> example below, the two values are nearly identical, and I
> think we all expect that this would generally be the case.

Michael shows that in his example he finds a BIC difference of
.02036. To give it a bit of perspective: Adrian Raftery (1995)
propsed the following categorization of BIC differences:

0-2  : Weak evidence
2-6  : Positive evidence
6-10 : Strong evidence
> 10 : Very strong evidence

So the kind of difference that Michael found would to all 
intends and purposes mean that the logit and probit models are 
indistinguishable. 

Hope this helps,
Maarten

Adrian E. Raftery (1995) "Bayesian Model Selection in Social 
Research", Sociological Methodology, Vol. 25, pp. 111-163. 

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------


      

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