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Re: st: heteroscedasticity test for probit and oprobit
If -findit probit heteroskdasticity- doesn't turn up any canned programs
for testing, you'll have to do it by hand. A test for heteroskedasticity
in probit models is described in Davidson and MacKinnon's 1993 book, pp.
526-527. It doesn't look too hard to implement.
An alternative is to assume you have heteroskedasticity and use -hetprob-.
I have nothing to suggest about ordered probits, I'm afraid.
Quoting Hyojoung Kim <firstname.lastname@example.org>:
> dear statalists,
> i am wondering whether there is any way of testing for
> heteroscedasticity in
> probit or ordered probit, i.e., an equivalent for hettest in OLS
> If not, what do you usually do if you suspect it in your dataset?
> looking forward to hearing from you soon, thank you for your
> Hyojoung Kim
> Assistant Professor of Sociology
> University of Washington
> 202 Savery Hall, Box 353340
> Seattle, WA 98195-3340
> (Phone) 206-543-9644
> (Fax) 206-543-2516
> (E-mail) email@example.com
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> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
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