ch17 Limited Dependent Variables 《计量经济学导论》教材.pptVIP

Economics 20 - Prof. Anderson * * Limited Dependent Variables P(y = 1|x) = G(b0 + xb) y* = b0 + xb + u, y = max(0,y*) Binary Dependent Variables Recall the linear probability model, which can be written as P(y = 1|x) = b0 + xb A drawback to the linear probability model is that predicted values are not constrained to be between 0 and 1 An alternative is to model the probability as a function, G(b0 + xb), where 0G(z)1 The Probit Model One choice for G(z) is the standard normal cumulative distribution function (cdf) G(z) = F(z) ≡ ∫f(v)dv, where f(z) is the standard normal, so f(z) = (2p)-1/2exp(-z2/2) This case is referred to as a probit model Since it is a nonlinear model, it cannot be estimated by our usual methods Use maximum likelihood estimation The Logit Model Another common choice for G(z) is the logistic function, which is the cdf for a standard logistic random variable G(z) = exp(z)/[1 + exp(z)] = L(z) This case is referred to as a logit model, or sometimes as a logistic regression Both functions have similar shapes – they are increasing in z, most quickly around 0 Probits and Logits Both the probit and logit are nonlinear and require maximum likelihood estimation No real reason to prefer one over the other Traditionally saw more of the logit, mainly because the logistic function leads to a more easily computed model Today, probit is easy to compute with standard packages, so more popular The Likelihood Ratio Test Unlike the LPM, where we can compute F statistics or LM statistics to test exclusion restrictions, we need a new type of test Maximum likelihood estimation (MLE), will always produce a log-likelihood, L Just as in an F test, you estimate the restricted and unrestricted model, then form LR = 2(Lur – Lr) ~ c2q Goodness of Fit Unlike the LPM, where we can compute an R2 to judge goodness of fit, we need new measures of goodness of fit One possibility is a pseudo R2 based on the log likelihood and defined as 1 – Lur/Lr Can als