Compare coefficients across logit equations
complogit varlist , group(varname) [ numerator(varname) denominator(varname) specific(varname) ]
complogit allows for the accurate comparison of coefficients across groups in a logit equation by automating the calculations discussed in Hoetker > (2004; 2007). This help file will make little sense without reference to those articles.
In its basic application, it performs the requested logit equation on all observations, on cases where the group variable=0 and on cases where it equals 1. It then performs a logit for all observations, allowing residual variance to differ across groups. It then tests whether residual variation differs across groups using a likelihood ratio and Wald chi-square test. Lastly, it uses a likelihood ratio test to test the null hypothesis that the true coefficients are the same across groups versus the alternative that at least one coefficient differs.
Optionally, the user may request a test of test of the null hypothesis that the > true coefficients are the same across groups versus the alternative that a specific coefficient differs. To do so, specify the desired coefficient in the specific option. Note that this test assumes that all other coefficients are equal across groups.
Optionally, the user may request a test that the ratio of two coeffiients is the same across groups. To do so, specify the desired variables in the numerator and denominator options.
Version 8 of Stata is required. There is minimal error checking. complogitml.ado contains the maximum likelihood routine and is of little direct use. It is based on code contained in Allison (1999). Users may also wish to s > ee the oglm command of Richard Williams and his associated papers.
Allison, P.D. 1999. Comparing logit and probit coefficients across groups. SMR/Sociological Methods & Research. 28(2): 186-208.
Hoetker, G. 2004. Confounded coefficients: Accurately comparing logit and probit coefficients across groups. Working paper. http://www.business.uiuc.edu/ghoetker/documents/Hoetker_comp_logit.pdf
Hoetker, G. 2007. The use of logit and probit models in strategic management re > search: Critical issues. Strategic Management Journal. 28(4): 331-343.
. complogit y x1 x2, group(type)
. complogit y x1 x2, group(type) num(x1) den(x2)
. complogit y x1 x2, group(type) sp(x1)
Glenn Hoetker, College of Business, University of Illinois at Urbana-Champaign Email: firstname.lastname@example.org