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st: Heteroskedastic Probit Estimation

From   Fred Dzanku <>
Subject   st: Heteroskedastic Probit Estimation
Date   Sat, 6 Nov 2010 09:54:59 +0000

Dear All,
I  am estimating a heteroskedastic probit model but I am not too sure
which variables to include in the heteroskedastic function. This is
because a variable addition test shows that not including as
explanatory variables the variables I specify in het(*) causes my
model suffers from omitted variables bias. What do I do given Cameron
and Trivedi (Page 455)'s advice not to include the variables in het(*)
also as explanatory variables? I am a bit confused about all these.
Can someone please help? Relatedly, is there any way of explicitly
testing which variables to include in het(*)?

Many thanks.

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