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Re: st: Heteroskedasticity logit model


From   Richard Williams <[email protected]>
To   [email protected], "[email protected]" <[email protected]>
Subject   Re: st: Heteroskedasticity logit model
Date   Wed, 11 Dec 2013 09:44:49 -0500

The user-written -oglm- routine available at SSC can estimate ordinal and binary hetero models using logit, probit, and other links. There are various controversies concerning such models. See, for example,

http://www3.nd.edu/~rwilliam/xsoc73994/RW_ESRA2013.pptx

and the sources it cites. The oglm support page is at

http://www3.nd.edu/~rwilliam/oglm/index.html

Incidentally, I would probably just go ahead and use hetprob unless you really need the other features that oglm offers.

At 06:47 AM 12/11/2013, Nerissa Fanoembi wrote:
Hello,
I am running a pooled logit model. The data is randomly sampled cross sections from 2004 till 2012. I want to check the heteroskedasticity problem. But there is no heteroskedasticity test available for the logit model. How is it possible to test heteroskedasticity then? The probit model is almost similar as the probit model. Therefore I run the hetprob command where I include all independent variables (categorical and continuous independent variables). The test shows that heteroscedasticity is a problem (the prob of the Likelihood-ratio test of lnsigma2 is 0.0001). In addition, what can I do to solve the heteroskedasticity problem in the logit model? And what is the useful procedure to test heteroskedasticity in a logit model?
Best regards,
Nerissa Fanoembi.
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Richard Williams, Notre Dame Dept of Sociology
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