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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

Economics 310

Lecture 23

Logit Analysis









Shazam commands for logit
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


Shazam logit results
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


Expected results
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











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