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Re: st: Heteroskedastic Probit Model


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Heteroskedastic Probit Model
Date   Thu, 22 Apr 2010 02:54:31 -0700 (PDT)

--- On Thu, 22/4/10, Mustafa Brahim  wrote:
> 1) I understand that runing hetprob procedure adjusts the
> estimates and standard errors and therefore corrects for
> heteroskedasticity? is this correct? 

That is true only in a very specific sense. Remember that 
the dependent variable is latent, so it is not directly
observed. The errorterm is the difference between a 
predicted value and a latent variable. The 
heteroskedasticity means that the variance of this error
term changes over some of the variables. Notice that our
data contains extremely little information on this 
heteroskedasticity, so most of the information is comming
from your assumptions (primarily functional form 
assumptions).

So, when should you use -hetprob-? When you have a very
strong theoretical argument for these assumptions. Given
that you started your question with the statement: " I 
included all variables in the -het( )- option because I am
not sure which one may be causing the problem of 
heteroskedasticity." I conclude that you do not have such
a theory, and should thus not use -hetprob-. 

Hope this helps,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------


      

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