The sign of the logistic regression coefficient
- LLMSVFAtt
Let Y be a binary random variable and X a scalar. Let be the maximum likelihood estimate of the slope in a logistic regression of Y on X with intercept. Further let and be the average of sample x values for cases with y=0 and y=1, respectively. Then under a condition that rules out separable predictors, we show that sign() = sign(). More generally, if are vector valued then we show that if and only if . This holds for logistic regression and also for more general binary regressions with inverse link functions satisfying a log-concavity condition. Finally, when then the angle between and is less than ninety degrees in binary regressions satisfying the log-concavity condition and the separation condition, when the design matrix has full rank.
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