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File5-Session4-Logit Regression

This document provides an introduction to logistic regression. It explains that logistic regression is used when the dependent variable is binary. Ordinary least squares regression is not appropriate for binary dependent variables because it can predict probabilities outside the valid 0-1 range and has heteroscedastic errors. The logistic regression model transforms the dependent variable into odds using the logit function to address these issues. The document provides an example of how to interpret coefficients in a logistic regression with multiple independent variables.

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Dao Huynh
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23 views

File5-Session4-Logit Regression

This document provides an introduction to logistic regression. It explains that logistic regression is used when the dependent variable is binary. Ordinary least squares regression is not appropriate for binary dependent variables because it can predict probabilities outside the valid 0-1 range and has heteroscedastic errors. The logistic regression model transforms the dependent variable into odds using the logit function to address these issues. The document provides an example of how to interpret coefficients in a logistic regression with multiple independent variables.

Uploaded by

Dao Huynh
Copyright
© © All Rights Reserved
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Introduction to Logit

Regression
Introduction and Description

 Why use logistic regression?


 Estimation by maximum likelihood
 Interpreting coefficients
 Hypothesis testing
 Evaluating the performance of the model
Why use logistic regression?
 There are many important research topics for which the
dependent variable is "limited."
 For example: voting, mortality, buying decision and
participation data is not continuous or distributed
normally.
 Binary logistic regression is a type of regression analysis
where the dependent variable is a dummy variable: coded
0 (did not vote) or 1(did vote)
or coded 0 = not buying intention or 1 = buying intention
The Linear Probability Model

In the OLS regression:


Y =  + X + e; where Y = (0, 1)
 The error terms are heteroskedastic
 e is not normally distributed because Y takes on only two
values
 The predicted probabilities can be greater than 1 or less
than 0
Data Example
No. Buying intention year working income
(1=yes; 0=no) education year ($/month)

1 1 16 9 2000

2 0 18 4 1000

3 1 16 8 1700

4 0 18 3 900

5 0 12 5 1400

.... ............ ........ ...... .......


Plain old regression

 Y = A BINARY RESPONSE (DV)


 1 POSITIVE RESPONSE (Cocabuying) P
 0 NEGATIVE RESPONSE (Pepsibuying) Q = (1-P)
 MEAN(Y) = P, observed proportion of
Cocabuying
 VAR(Y) = PQ, maximized when P = .50, variance
depends on mean (P)
 XJ = ANY TYPE OF PREDICTOR  Continuous,
Dichotomous (divided or dividing into two parts),
Polytomous (the process of dividing into more than three parts)
The Logistic Regression Model
The "logit" model solves these problems:

ln[p/(1-p)] =  + X + e

 P Y  1 X  
ln      X  e
1  P Y  1 X 

 p is the probability that the event Y occurs, p(Y=1)


 p/(1-p) is the "odds ratio"
 ln[p/(1-p)] is the log odds ratio, or "logit"
The logistic function
The Logit – Multiple predictors

 PY  1 X  
ln      1 X 1   2 X 2  ...   k X k  e
1  PY  1 X 
Manual: Analyze/Regression/Binary Logistic
Discussion
 Value of score means that Size is significantly different
from zero, there is a relationship between the dependent
variable (Coca-buying) and the independent variable
(Pepsi-buying)
 R-square of Cox & Snell; Nagelkerke) are 0.474 and
0.632 respectively, means that 47.4% (Cox) and 63.2%
(Nagelkerke) information of independent variable
contributes to the dependent variable.
 Therefore, another parameter is concerned.

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