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Re: st: Heteroskedastic Probit Model


From   Mustafa Brahim <datotanseri@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Heteroskedastic Probit Model
Date   Thu, 22 Apr 2010 22:17:37 +0800

Dear Maarten and Richard,

Thank you very much for your input. Maarten I know that what you
mentioned is not a personal attack. In fact I appreciate very much the
time and effort you are putting to help others. I am just curious to
know and learn from people like you. and I did learn a lot from the
solutions you provided in the forum.
Richard, I am happy to hear from you. I read a couple of your articles
and I tried to contact you but the email bounced back, that email is
different from the one you are using. in fact today I was reading your
article about oglm. I will try it and see how it goes.

Let me ask my question in simple way: Assuming there is no problem
with functional form and theory. What should I do to check for
heteroskedasticity in probit model?

Again thank you  Maarten and Richard.


Ismail



On Thu, Apr 22, 2010 at 10:26 PM, Richard Williams
<Williams.NDA@comcast.net> wrote:
> 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
>
>
> -------------------------------------------
> 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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