Wednesday, February 6, 2013

Some Scary Simulations on the Robustness of Logit

Based on my training, I was always believed that logit models were relatively robust.  Specifically, the rule-of-thumb had been that having more than 50 observations was probably ok for simple MLE models like logit.  Some sticklers prefer a floor of 100 observations.  However, some recent research suggests that the floor may be need to be higher -- much higher.