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Re: st: Heteroskedastic Probit Model

From   Richard Williams <>
Subject   Re: st: Heteroskedastic Probit Model
Date   Thu, 22 Apr 2010 16:10:38 -0500

At 02:51 PM 4/22/2010, Maarten buis wrote:
check.  So you need to give some other reason why we should
believe the results, which is usually a theory that states
that a certain variable influences the residual variance in
a certain way.  This precludes a kitchen-sink model.

I agree.  You need a good theory.

Hope this isn't too depressing,

I agree it can be depressing, but it can also be depressing if you think about the consequences of NOT estimating a hetero model when you should have. The more I work with categorical variables, the more I think you should do everything you can to get good continuous measures of the variables you are interested in.

Richard Williams, Notre Dame Dept of Sociology
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