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From | Maarten buis <maartenbuis@yahoo.co.uk> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Re: heteroscedasticity in logit/ probit model |
Date | Wed, 24 Nov 2010 14:41:31 +0000 (GMT) |
--- On Wed, 24/11/10, rohaida wrote: > I already use the hetprob command. But if i'm not mistaken the > hetprob is a test for heteroscedasticity (correct me if I'm > wrong). I get the hetprob result and confirm that my probit > model suffers the endogeneity. So, what should I do next? Can > I use the logit command with robust std. error to fix the > heteroscedasticity in my probit model? No, heteroskedasticity in -probit-/-logit- models changes the scale of your dependent variable. This means that a regular -logit- or -probit- will misspecify the means function so robust standard errors won't help as these assume a correctly specified mean function. However, this assumes that you actually want to correct for heteroskedasticity. To answer that you need to think very hard about what you want your dependent variable to be, and what the dependent variable is in the different models. After that you can make your choice. Hope this helps, Maarten -------------------------- 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/