Logistic regression - effect of unobserved heterogeneity on estimators bias variance
Abstract: In this paper we study unobserved heterogeneity in logistic regression, which occurs as a resultof omitted variables. Unlike linear regression, logistic regression estimates are a ected by modelmisspeci cation even if omitted variables are not correlated to the explanatory variables in themodel. As a result, interpretation of log-odds ratios and odds ratios is not straight forward andsimilar models with di erent independent variables can not be compared. We study averagemarginal e ect as a possible measure of overcoming the unobserved heterogeneity problem.
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