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| From | Maarten Buis <maartenlbuis@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: AIC for comparing probit and logit |
| Date | Fri, 6 Jul 2012 20:55:50 +0200 |
On Fri, Jul 6, 2012 at 4:58 PM, Laurie Molina wrote: > Do you know if it is valid to compare between and probit and logit > model, by comparing the corresponding AICs? > Is AIC valid to compare models with different distributions? or does > is it only valid to compare models with the same distribution, for > example two logit models with different explanatory variables? Could be possible, but there are many things that could go wrong. In particular, many likelihood functions typical contain a part that does not depend on the parameters, and programmers can choose to keep those in or leave those out without changing the parameter estimates. However, such choices do influence whether or not the AICs can be compared. The real difficulty is that I would only believe the result if the conclusion is that -probit- and -logit- are to all intends and purposes identical. If you look at the curves you'll see that they are virtually identical (logit having a slightly thicker tail). You'd need a huge dataset to detect such differences, and when you do, these differences will have no practical implication whatsoever. If all that is true, than there is just no need to test it... You can choose whichever model is prefered by your (sub-(sub-))discipline. Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/