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st: Re: heteroscedasticity in logit/ probit model


From   rohaida <rohaida_basiruddin@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: heteroscedasticity in logit/ probit model
Date   Wed, 24 Nov 2010 07:01:21 -0800 (PST)

thanks maarteen.

Let me clarify my problem. In linear model we use "estat imtest" and "estat
hettest" command to check heteroscedasticity. If heteroscedasticity exist
the OLS is inefficient, then we can use the GLS (weighted least square) or
robust std. error to correct heteroscedsaticity. 

So, how about the probit/logit model? how can I check heteroscedsaticity in
logit/ probit model? If heteroscedasticity exist in the probit/ logit model
how can I fix it? This is useful to defend which estimator that give
unbiased results. What actually 'hetprob' function? Thanks.

      
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