Cramer, J. S. - In: Oxford Bulletin of Economics and Statistics 69 (2007) 4, pp. 545-555
In probit and logit models, the "&bgr;" coefficients vary inversely with the variance of the disturbances. The omission of a relevant orthogonal regressor leads to increased unobserved heterogeneity, and this depresses the "&bgr;" coefficients of the remaining regressors towards zero. For the probit...