Dear Gretl-community,
I try to estimate a logit model using gretl according to the user's
guide.
I used an embedded example for the calculation (credscore.gdt).
The dependent variable (Y) = 0 or 1.
Four independent variables: MDR, Age, Selfempl, Income.
The package performs calculations using maximum likelihood method.
But I would like to use an ols method.
How can I do it?
Variable sustitution does not work:
y* = ln (P / 1-P) = a + bx
but y* is unobserved variable (latent).
P^ = 1 / (1 + exp (-y*))
ln (1/P^ -1) = a + bx
May I use Y (0 or 1) instead of P^?
Any help will be appreciated.
With best wishes for Christmas and the New Year,
Alexander Rogalsky