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st: RE: RE: RE: Testing for heteroscedasticity in probit models


From   "EVD Analytics" <eric@evdanalytics.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: Testing for heteroscedasticity in probit models
Date   Mon, 9 Nov 2009 09:06:09 -0800

There is also the possibility, if not the likelihood, that
heteroscedasticity tests in probit models may detect other forms of
misspecification, including omitted variable bias.  

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
Sent: Monday, November 09, 2009 8:42 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: RE: Testing for heteroscedasticity in probit models

G. E. P. Box. 
Non-normality and tests on variances. 
Biometrika 1953 40: 318-335; doi:10.1093/biomet/40.3-4.318

Nick 
n.j.cox@durham.ac.uk 

Lachenbruch, Peter

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."

Gisele.Schmid@unige.ch

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?


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