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st: RE: Testing for heteroscedasticity in probit models


From   "Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Testing for heteroscedasticity in probit models
Date   Mon, 9 Nov 2009 08:36:13 -0800

Generally, testing for heteroscedasticity is fraught with danger:  in particular something like Bartlett's test depends on normality so that a rejection may be as much a function of non-normality as it is of unequal variances.

George Box once wrote (around 1952, but don't rely on my memory) "Testing for heteroscedasticity is like putting to sea in a rowboat to see if it's safe for the Queen Mary to sail."

Tony

Peter A. Lachenbruch
Department of Public Health
Oregon State University
Corvallis, OR 97330
Phone: 541-737-3832
FAX: 541-737-4001


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Gisele.Schmid@unige.ch
Sent: Sunday, November 08, 2009 10:16 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Testing for heteroscedasticity in probit models

Dear Statalist-Users,

I am working with a probit model and I suspect heteroscedasticity.  
Before using the command -hetprob-, I would like to perform the  
Davidson and MacKinnon test for heteroscedasticity in probit models  
(Reference: Estimation and inference in Econometrics, 1993, Davidson  
and MacKinnon). Does such a test already exist in Stata? If this is  
not the case, how can I compute it?

Thanks for your help,

Gisèle




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