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Saturday, June 25, 2016

Choosing Between the Logit and Probit Models

I've had quite a bit say about Logit and Probit models, and the Linear Probability Model (LPM), in various posts in recent years. (For instance, see here.) I'm not going to bore you by going over old ground again.

However, an important question came up recently in the comments section of one of those posts. Essentially, the question was, "How can I choose between the Logit and Probit models in practice?"

I responded to that question by referring to a study by Chen and Tsurumi (2010), and I think it's worth elaborating on that response here, rather than leaving the answer buried in the comments of an old post.

So, let's take a look.