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Economics 310

Economics 310. Lecture 23 Logit Analysis. Properties of Maximum Likilihood Estimator. Ln(L). Properties of Maximum likelihood estimator of Probit. Likelihood Ratio Test. Correcting the example in Text, Page 750. The logit model. Logit estimate of computer ownership model-Limdep.

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Economics 310

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  1. Economics 310 Lecture 23 Logit Analysis

  2. Properties of Maximum Likilihood Estimator Ln(L)

  3. Properties of Maximum likelihood estimator of Probit

  4. Likelihood Ratio Test

  5. Correcting the example in Text, Page 750

  6. The logit model

  7. Logit estimate of computer ownership model-Limdep

  8. Logit estimate of computer ownership model

  9. Shazam Commands for logit Par 2000 sample 1 13081 read (C:\d\Econometrics Classes\ECON310\Class Example\wlottq07205.asc)HESCU1A AGE PERACE PESEX PTERNWA genr COMPUTER=(HESCU1A.eq.1) genr AGESQ=AGE*AGE genr NONWHITE=(PERACE.gt.1) genr FEMALE=(PESEX.eq.2) genr EARNING=PTERNWA LOGIT COMPUTER AGE AGESQ NONWHITE FEMALE EARNING PROBIT COMPUTER AGE AGESQ NONWHITE FEMALE EARNING STOP

  10. Shazam Logit Results ASYMPTOTIC WEIGHTED VARIABLE ESTIMATED STANDARD T-RATIO ELASTICITY AGGREGATE NAME COEFFICIENT ERROR AT MEANS ELASTICITY AGE -0.25081E-02 0.80329E-02 -0.31222 -0.43545E-01 -0.40950E-01 AGESQ -0.14546E-03 0.96464E-04 -1.5079 -0.10870 -0.10167 NONWHITE -0.64665 0.51282E-01 -12.610 -0.43395E-01 -0.40679E-01 FEMALE 0.23483 0.37955E-01 6.1870 0.52082E-01 0.50189E-01 EARNING 0.12823E-02 0.56115E-04 22.852 0.32904 0.28472 -0.20415 0.14842 -1.3755 -0.91387E-01 -0.86538E-01 LOG-LIKELIHOOD FUNCTION = -8542.2 LOG-LIKELIHOOD(0) = -9013.1 LIKELIHOOD RATIO TEST = 941.776 WITH 5 D.F. MADDALA R-SQUARE 0.6947E-01 CRAGG-UHLER R-SQUARE 0.92876E-01 MCFADDEN R-SQUARE 0.52245E-01 ADJUSTED FOR DEGREES OF FREEDOM 0.51882E-01 APPROXIMATELY F-DISTRIBUTED 0.66150E-01 WITH 5 AND 6 D.F. CHOW R-SQUARE 0.70356E-01

  11. Expected Results • Coeff LPM = Coeff Logit*0.25 except intercept • Coeff LPM = Coeff Logit *0.25 + 0.5 for intercept • Coeff Probit = 0.625 * coeff logit

  12. Comparing Computer Ownership Results

  13. Logic of Probit Model

  14. Probit Model

  15. Probit Model – Group Data

  16. Logit Model

  17. Logit Model-Group Data

  18. Computer Ownership-LPM-Group Data

  19. Computer Ownership-Logit-Group Data

  20. Computer Ownership-Probit-Group Data

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