Comparing Logit and Probit Coefficients Across Groups

Abstract

In logit and probit regression analysis, a common practice is to estimate separate models for two or more groups and then compare coefficients across groups. An equivalent method is to test for interactions between particular predictors and dummy (indicator) variables representing the groups. Both methods may lead to invalid conclusions if residual variation differs across groups. New tests are proposed that adjust for unequal residual variation.