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Re: st: Heteroscedastic logit model


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Heteroscedastic logit model
Date   Fri, 20 May 2011 10:52:23 +0200

On Fri, May 20, 2011 at 10:08 AM, Dieter Somers wrote:
> 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') ?

Heteroskedasticity is a much biger problem and much harder to check in
non-linear models than in linear regression, so I think that no such
test exists or even can exist. At some point you have to live with the
fact that your model contains assumptions that cannot be tested. For
more on this, see:
http://www.stata.com/statalist/archive/2010-11/msg00996.html

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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