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Re: st: Penalized/shrinkage estimators for probi
From
Stas Kolenikov <[email protected]>
To
[email protected]
Subject
Re: st: Penalized/shrinkage estimators for probi
Date
Fri, 12 Aug 2011 10:42:35 -0400
-findit plogit- does not return anything by that name. It may have
been written and circulates in your organization, but for the rest of
Stata world, it is as good as non-existent. Since the coefficients in
limited dependent variable models are identified up to a scale (or at
least that's how econometricians view it, and I think it is best to
know of all potential pitfalls even if your discipline does not
believe in them), imposing lasso-type conditions on probit
coefficients may lead to strange and inconsistent results (although a
solid reference would certainly convince me otherwise :)).
Most of the time, the choice between logit and probit models is a
matter of personal preference (although in case of -mlogit- and
-mprobit-, there huge differences, of course).
On Fri, Aug 12, 2011 at 4:03 AM, Charles Vellutini
<[email protected]> wrote:
> Hi all,
>
> I need to estimate a probit model starting with a very large number of candidate explanatory variables -this is essentially a data mining, a-theoretical context. I therefore need a robust approach to variable selection.
>
> I am aware of the plogit package, which implements penalized estimators for the logistic model (including lasso), but I did not find similar estimators for the probit model. Is anyone aware of one?
>
> Failing that, what about using the plogit package to do the variable selection bit and then run a regular probit on the selected model?
>
> Thanks
>
> Charles Vellutini
> [email protected]
> ECOPA
>
>
>
>
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>
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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