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st: Heteroscedastic logit model


From   Dieter Somers <dietersomers@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Heteroscedastic logit model
Date   Fri, 20 May 2011 10:08:09 +0200

Hi everyone,

I am trying to use a heteroscedastic version of the conditional logit model.
I'm using the clogithet command. However, I am not able to run the regression.
Next from the option 'group( )' which identifies the groups, you also
have to specify the heteroscedastic variables with the 'het()'.
However, when I run the regression, I get an error that states that
the variables that cause the heteroscedasticity are not constant
within the groups.
This seems strange, because in a conditional logit model, these
variables are obviously different from each other within each group,
or am I missing something?
I was also wondering whether there exists a general test that checks
for heteroscedasticity in a conditional logit model (for instance a
command similar to the 'hettest') ?


Kind regards,

Dieter
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