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Chapter 11

Chapter 11. Regression with a Binary Dependent Variable. Regression with a Binary Dependent Variable (SW Chapter 11). Example: Mortgage denial and race The Boston Fed HMDA data set . The Linear Probability Model (SW Section 11.1). The linear probability model, ctd.

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Chapter 11

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  1. Chapter 11 Regression with a Binary Dependent Variable

  2. Regression with a Binary Dependent Variable (SW Chapter 11)

  3. Example: Mortgage denial and raceThe Boston Fed HMDA data set

  4. The Linear Probability Model(SW Section 11.1)

  5. The linear probability model, ctd.

  6. The linear probability model, ctd.

  7. Example: linear probability model, HMDA data

  8. Linear probability model: HMDA data, ctd.

  9. Linear probability model: HMDA data, ctd

  10. The linear probability model: Summary

  11. Probit and Logit Regression(SW Section 11.2)

  12. Probit regression, ctd.

  13. STATA Example: HMDA data

  14. STATA Example: HMDA data, ctd.

  15. Probit regression with multiple regressors

  16. STATA Example: HMDA data

  17. STATA Example, ctd.: predicted probit probabilities

  18. STATA Example, ctd.

  19. Logit Regression

  20. Logit regression, ctd.

  21. STATA Example: HMDA data

  22. Predicted probabilities from estimated probit and logit models usually are (as usual) very close in this application.

  23. Example for class discussion:

  24. Hezbollah militants example, ctd.

  25. Predicted change in probabilities:

  26. Estimation and Inference in Probit (and Logit) Models (SW Section 11.3)

  27. Probit estimation by nonlinear least squares

  28. Probit estimation by maximum likelihood

  29. Special case: the probit MLE with no X

  30. The MLE in the “no-X” case (Bernoulli distribution), ctd.:

  31. The MLE in the “no-X” case (Bernoulli distribution), ctd:

  32. The probit likelihood with one X

  33. The probit likelihood function:

  34. The Probit MLE, ctd.

  35. The logit likelihood with one X

  36. Measures of fit for logit and probit

  37. Application to the Boston HMDA Data (SW Section 11.4)

  38. The HMDA Data Set

  39. The loan officer’s decision

  40. Regression specifications

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