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st: RE: binary dependent variable


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: binary dependent variable
Date   Sun, 7 Dec 2008 21:58:07 +0100

Line for the server...

First of all, provide proper citations for your "Hogan and Rigobon". 

HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nirina F
Sent: Sunday, December 07, 2008 9:51 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: binary dependent variable

Hello,

I have the following regression: y=ax1+ax2+e
My dependent variable y is a binary choice variable and x1, my
endogenous variable is continuous. x2 represents the rest of my
control variables.

 I would like to use the identification through heteroskedasticity
like in Hogan and Rigobon but I don't know if having y as binary and
therefore having to use LPM or Probit make me having a
heteroskedasticity problem anyway.
Does anyone know where does this heteroskedasticity of Probit come
from? could you indicate anything in the literature?
Thank you,
Nirina
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