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Re: st: Heteroskedastic Probit Model


From   Richard Williams <Williams.NDA@comcast.net>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: Heteroskedastic Probit Model
Date   Thu, 22 Apr 2010 09:26:02 -0500

At 03:51 AM 4/22/2010, Mustafa Brahim wrote:
Dear Stata users,


I run this model:

hetprob crisis m2mult m2reser usrealra creditgd reserves rerdev bfl
privclai shordebt shortdeb, het( m2mult  m2reser usrealra creditgd
reserves rerdev bfl privclai shordebt shortdeb )

You need some decent theory to run these models. A mis-specified variance equation may actually make things worse than no variance equation at all. Conversely, if you take a kitchen sink approach and just toss everything into the variance equation, you may have problems with multicollinearity. oglm (available from SSC) is a generalization of hetprob. You may want to take a look at the oglm support page (and the readings it refers to) for more on the pros and cons of hetero models:

http://www.nd.edu/~rwilliam/oglm/index.html


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Richard Williams, Notre Dame Dept of Sociology
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