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Re: st: heteroscedasticity test for probit and oprobit


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Hyojoung Kim <hyojoung@u.washington.edu>
Subject   Re: st: heteroscedasticity test for probit and oprobit
Date   Sat, 25 Sep 2004 19:27:15 +0100 (BST)

Hyojoung,

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.

Cheers,
Mark

Quoting Hyojoung Kim <hyojoung@u.washington.edu>:

> 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
> regress.
> 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
> advice.
> 
> hyojoung
> 
> 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) hyojoung@u.washington.edu
> 
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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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