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Re: st: heteroscedasticity test for logistic regression


From   "maartenbuis" <[email protected]>
To   [email protected]
Subject   Re: st: heteroscedasticity test for logistic regression
Date   Thu, 02 Dec 2004 13:29:46 -0000

Dear hyojoung,

I just remembered that in a linear probability model the errors are 
always hetroscedastic. So doing a hettest after an OLS regression 
should always give you evidence that there is heteroscadasticity, 
regardless of whether or not that is also the case in logistic 
regression. See for instance (Long 1997, p. 38-39).

J. Scott Long, 1997, Regression Models for Categorical and Limited 
Dependent Variables. Sage. (This is not the Long and Freese book wich 
is often referd to on this list, since the Long and Freese book does 
not discuss the linear probability model)

Maarten



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