st: Thread-Index: AQHMtFo+KNDs77p3gESnnog4xmJOSQ==

[Luca Fumarco <luca.fumarco@lnu.se>]

Dear Statalisters

I have found the answer, and I share it with you (..maybe you still have some relevant comments on it):
Let's say, as by previous literature, that the Var(e)=[exp(Z'*gamma)]^2

hetprob y B1x1 B2x2 B3x3, het(x1)  [with het(.) I hypothesize the variance volatility is given by x1]
mehetprob [I get the lnsigma2 of x1, that is the estimate of gamma1]

then the mfx1=p(Y=1)*[ B^k - ZBwk]/[exp(gamma1*x1)]

If x1 is a dummy var, then:
-> the id for which x1=0 we have sigma=1
-> the id for which x1=1 we have sigma=exp(gamma1*x1)

you can check your result with the postestimation command:
predict sigmahat, sigma


Luca Fumarco

Ph.D. Student
Linnæus University

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