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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: hetroscedasticity test after probit |

Date |
Thu, 5 Jul 2012 14:02:07 +0200 |

On Thu, Jul 5, 2012 at 1:33 PM, Prakash Singh wrote: > I just saw this paper (Parikh ans Sen 2006, Applied Economics Letters > 2006, 13, 699-707) where they have tested the presence of > hetroscedasticity both in probit and hetpro estimators. > > Though, I agree with Maarten but I wanted to do this test as the > referee has asked me perform so if there is any way I can test it. I would not test for it, as you just cannot test for it. This type of heteroscedasticity does not refer to residuals we can see, that is the observed - predicted values but to a difference between two unobserved quantities: the latent and predicted value. The information that is used to estimated such heteroscedastic probit models is typically a deviation from "linearity"(*) in the effects of the observed variables (e.g. <http://www.maartenbuis.nl/wp/uh_logistic.html>). Now linearity is almost always nothing but a convenient simplification of reality and is not believed to be strictly true. These models, however, cannot distinguish between the to be expected small deviations from linearity and heteroscedasticity. As a consequence these models are just way to fragile. You may get completely different estimates with them, but that tells you exactly nothing. I would just frame the results as descriptive, as that is true and regardless of the presence or absence of heteroscedastictiy. The trick is to explain your results in terms of comparing groups, i.e. the probability of success in group 1 can be a and in group 2 b, so the groups differ in probability by b - a. However, this does not mean that the probability of success of persons in group 1 would change by b - a when they changed to group 2, because they will take the residual variance of group 1 with them. Hope this helps, Maarten (*) within the linear predictor not with respect to the predicted probability. -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: hetroscedasticity test after probit***From:*Prakash Singh <prakashbhu@gmail.com>

**Re: st: hetroscedasticity test after probit***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: hetroscedasticity test after probit***From:*Prakash Singh <prakashbhu@gmail.com>

**Re: st: hetroscedasticity test after probit***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: hetroscedasticity test after probit***From:*Prakash Singh <prakashbhu@gmail.com>

**Re: st: hetroscedasticity test after probit***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: hetroscedasticity test after probit***From:*Yuval Arbel <yuval.arbel@gmail.com>

**Re: st: hetroscedasticity test after probit***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: hetroscedasticity test after probit***From:*Yuval Arbel <yuval.arbel@gmail.com>

**Re: st: hetroscedasticity test after probit***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: hetroscedasticity test after probit***From:*Prakash Singh <prakashbhu@gmail.com>

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