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Re: st: I) plot the probability (instead of the dummy) on the residuals // II) cluster test


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: I) plot the probability (instead of the dummy) on the residuals // II) cluster test
Date   Mon, 12 Dec 2011 13:30:52 +0100

On Sat, Dec 10, 2011 at 11:26 AM, Luca Fumarco wrote:
> I) I have a probit regression, where the dep. var. is a dummy.
> I want to graphically see whether my model is affected by heteroskedasticity.Is there a way to plot the probability (instead of the dummy) on the residuals instead?

The problem is that the residual you care about is the difference
between the predicted and the latent (i.e. unobserved) variable. To
make things worse the latent variable is identified by the assumption
of homoskedasticity (or alternatively functional form for the
heteroskedasticity in -oglm-, see -ssc d oglm- and
<http://www.nd.edu/~rwilliam/oglm/>). So there is no way to
empirically check that assumption.

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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