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Re: st: Heteroskedastic Probit Model


From   Richard Williams <[email protected]>
To   [email protected], [email protected]
Subject   Re: st: Heteroskedastic Probit Model
Date   Thu, 22 Apr 2010 14:54:48 -0500

At 10:57 AM 4/22/2010, Maarten buis wrote:
-probit-, but the information we are trying to use then
is that these assumptions implie subtle changes in the
shape of the relationship between the observed variable
and the average (i.e. probability) of foreign, and as
we saw in the previous graph, the data contains only
very rough information on the shape of that
relationship. So that is what I meant when I said that
the necesarry information isn't there in the first
place.

True, but if you just throw up your hands and say you will assume no hetero, that has problems too. You may get estimates that are misleading, particularly if, say, you are interested in things like group comparisons of effects. If you have a theoretically plausible model, you can test whether the variables in the variance equation have significant effects. Alas, if the model is wrong that can also lead to incorrect conclusions. But you're taking a risk whatever you do, so you should think about what makes most sense while realizing that other things may make sense too.

Also, the rough information becomes less rough if you have ordinal variables, because ordinal variables convey more information about the underlying latent variable.


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Richard Williams, Notre Dame Dept of Sociology
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