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RE: st: Testing for heteroscedasticity with logit models


From   "Nick Winter" <nwinter@policystudies.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Testing for heteroscedasticity with logit models
Date   Tue, 30 Jul 2002 08:24:49 -0400

> "Erica R. Gould" wrote:
> > 
> > Does anyone know the best way to test for
> > heteroscedasticity with logit/probit models in Stata?
> > 
> > Thanks,
> > Erica
> > erg5n@virginia.edu

The heteroskedasticity here is in terms of the residual with respect to
the unobserved y*, not the observed y, which takes on values of zero or
one.  So it does make sense to speak of heteroskedasticity in probit or
logit.

I'm not sure you can test directly for this, however, since the observed
residuals take the value phat or 1-phat for each observation.  One
approach would be to run a -hetprob-, including suspected variables in
the variance specification, and testing for joing significance of those
variables.

Nick Winter
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