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st: Re: heteroskedasticity and oprobit/ologit

From   "Scott Merryman" <>
To   <>
Subject   st: Re: heteroskedasticity and oprobit/ologit
Date   Fri, 22 Aug 2003 21:29:06 -0500

----- Original Message ----- 
From: "Henry Sauermann" <>
To: <>
Sent: Monday, August 18, 2003 4:27 PM
Subject: st: heteroskedasticity and oprobit/ologit

> Hello stata-champions,
> I am still looking for a way to test and correct for heteroskedasticity
> after ordered (!) probit or logit regression in stata. Does anybody know of
> a way to do in stata or knows a stata add-on?
> Thanks a lot for your help,
> Henry Sauermann


In a previous reply to Henry's post, I suggested the use of the robust option to
compute Huber/White errors.  As David Drukker kindly pointed out to me, this
will not solve Henry's problem.  The model will be inconsistent is the presence
of heteroskedasticity and therefore, computing a robust covariance matrix for
inconsistent estimators is not useful.

I hope no one was misled by my previous reply,

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