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Re: st: [Fwd: Heteroskedastic probit]


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>, "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: [Fwd: Heteroskedastic probit]
Date   Thu, 30 Apr 2009 11:42:04 -0500

At 10:27 AM 4/30/2009, mmolina@uniroma3.it wrote:
Heteroskedastic probit model                    Number of obs     =
165
                                                Zero outcomes     =
 56
                                                Nonzero outcomes  =
109

                                                Wald chi2(3)      =
1.11
Log likelihood = -102.3917                      Prob > chi2       =
0.7758

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
newproc      |
  normscapab |   3.722963   3.615273     1.03   0.303    -3.362842
10.80877
          e6 |  -.2859454   .6005927    -0.48   0.634    -1.463085
.8911945
        d12b |  -.0033544   .0098363    -0.34   0.733    -.0226332
.0159244
       _cons |  -.1114548    1.10271    -0.10   0.919    -2.272727
2.049817
-------------+----------------------------------------------------------------
lnsigma2     |
  normscapab |   1.320455   1.518283     0.87   0.384    -1.655325
4.296234
------------------------------------------------------------------------------
Likelihood-ratio test of lnsigma2=0: chi2(1) =     0.61   Prob > chi2 =
0.4342

The model now converged but the prob is very high. Should I suppose the
presence of Heteroskedasticity now and before?

I would suppose just the opposite. Neither the z value in the lnsigma2 equation nor the corresponding LR test indicate that there is a problem with hetero, at least with normscapab. Indeed, having the hetero equation may be keeping you from finding significant results in the choice equation. It looks to me like you should just do a regular probit model.


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW:    http://www.nd.edu/~rwilliam

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