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Re: st: Predicted probabilities after oprobit w/robust standard errors


From   Nick Winter <nw53@cornell.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Predicted probabilities after oprobit w/robust standard errors
Date   Fri, 02 Jun 2006 19:35:06 -0400

Beating a horse that I am 95% confident is already dead:

To put it another way, the variance of the underlying distribution (that puts you with certain probabilities in each response category) is normalized to one in ordered probit. This is analogous to the standard error of the regression (Root MSE). When we estimate an OLS regression with robust standard errors, our estimate of Root MSE does not change -- that is, our estimate of the variance of the residuals does not change. What changes is our estimate of the variance of the parameters (across hypothetical repeated samples).

--NIck



At 06:14 PM 6/2/2006, you wrote:

At 02:40 PM 6/2/2006, Nick Winter wrote:
No.

You are confusing the (sampling) variance of the various estimates, with the variance of the underlying distribution. The latter is normalized to one regardless of the technique used to estimate the sampling variances.

--NW
--------------------------------------------------------
Nicholas Winter                           607.255.8819 t
Assistant Professor                       607.255.4530 f
Department of Government              nw53@cornell.edu e
308 White Hall            falcon.arts.cornell.edu/nw53 w
Cornell University
Ithaca, NY 14853-4601


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