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Robit regression in Stata

Author

Listed:
  • Roger B. Newson

    (King’s College London)

  • Milena Falcaro

    (King’s College London)

Abstract

Logistic and probit models are the most popular regression models for binary outcomes. A simple robust alternative is the robit model, which replaces the underlying normal distribution in the probit model with a Student’s t distribution. The heavier tails of the t distribution (compared with the normal distribution) mean that model outliers are less influential. Robit regression models can be fit as generalized linear models with the link function defined as the inverse cumulative t distribution function with a specified number of degrees of freedom; they have been advocated as being particularly suitable for estimating inverse-probability weights and propensity scoring more generally. Here we describe a new command, robit, that implements robit regression in Stata.

Suggested Citation

  • Roger B. Newson & Milena Falcaro, 2023. "Robit regression in Stata," Stata Journal, StataCorp LP, vol. 23(3), pages 658-682, September.
    • Handle: RePEc:tsj:stataj:v:23:y:2023:i:3:p:658-682
    DOI: 10.1177/1536867X231195288
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    Cited by:

    1. Roger Newson, 2024. "Balance and variance inflation checks for completeness-propensity weights," UK Stata Conference 2024 01, Stata Users Group.
    2. Wagner Joachim, 2024. "Exports and Firm Survival in Times of COVID-19 – Evidence from Eight European Countries," Review of Economics, De Gruyter, vol. 75(1), pages 63-70, April.
    3. Pyka, Vinzenz & Schnabel, Claus, 2023. "Unionization of retired workers in Europe," FAU Discussion Papers in Economics 06/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    4. Joachim Wagner, 2023. "Exports and firm survival in times of COVID-19 – Evidence from eight European countries," Working Paper Series in Economics 422, University of Lüneburg, Institute of Economics.
    5. Wagner, Joachim, 2023. "Exports and firm survival in times of COVID-19: Evidence from eight European countries," KCG Working Papers 29, Kiel Centre for Globalization (KCG).

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