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Re: st: hetroscedasticity test after probit


From   Yuval Arbel <[email protected]>
To   [email protected]
Subject   Re: st: hetroscedasticity test after probit
Date   Thu, 5 Jul 2012 11:32:25 +0300

Prakash, returning to your original question, I see no point at all to
check for hetroscedasticity after -probit- simply because this problem
is inherent in the family of models with binary dependent variables.

Take, for example, the so called LPM (linear probability model), where
the dependent variable is derived from Binomical distribution (which
is by itself an approximation to the Normal distribution, from which
the probit model is derived). Every elementary Econometric textbook
(e.g. Jan Kmenta, Elements of Econometrics, 1997, pp. 548-549), will
show you a very simple proof revealing the fact that the LPM is
inherently heteroscdastic, where the variance of the random
disturbance term equals yhat(1-yhat) and yhat is the vector of
predicted values

My suggestion is simply not to bother, but just to run the model with
correction to this inherent heteroscedasticity.
The simple version could be to run a simple regression, i.e., the LPM,
to construct a vector of predictions, and then to use the predictions
in order to weight the observations based on 1/sqrt((yhat(1-yhat))

BTW: In this way you are killing two birds, because incorporating the
square root of the expression yhat(1-yhat) will make sure to keep the
boundaries of the probability between 0 to 1.

On Thu, Jul 5, 2012 at 10:46 AM, Muhammad Anees <[email protected]> wrote:
> Strange though, have you also tried copying and paste to browser
> address bar? Check your inbox with attachment of the message in
> context.
>
> Anees
>
> On Thu, Jul 5, 2012 at 12:35 PM, Prakash Singh <[email protected]> wrote:
>> Anees
>>
>> I have tried in couple of system and it is still the same situation.
>> It will be nice if you can send the copy of it in pdf form or copy and
>> paste the content of the link.
>>
>>
>>
>> Regards
>> Prakash
>>
>> On 7/5/12, Muhammad Anees <[email protected]> wrote:
>>> You can check if you copied the link correctly, not missing the
>>> initial or last few letters.
>>> I confirm the link is working best.
>>>
>>> Anees
>>>
>>> On Thu, Jul 5, 2012 at 12:00 PM, Prakash Singh <[email protected]>
>>> wrote:
>>>> Marten thanks
>>>> I got link of this query in search but the problem is that the massage
>>>> is not opening.
>>>>
>>>>
>>>>
>>>> Regards
>>>> Prakash
>>>>
>>>> On Thu, Jul 5, 2012 at 12:10 PM, Maarten Buis <[email protected]>
>>>> wrote:
>>>>> On Thu, Jul 5, 2012 at 6:51 AM, Prakash Singh wrote:
>>>>>> I need help in performing test for hetroscedasticity after estimating
>>>>>> probit model. Is the any ado file or way to work out this on stata 10.
>>>>>> I googled but did not get any thing to start with.
>>>>>
>>>>> <http://www.stata.com/statalist/archive/2010-11/msg00996.html>
>>>>>
>>>>> 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/
>>>> *
>>>> *   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/
>>>
>>>
>>>
>>> --
>>>
>>> Best
>>> ---------------------------
>>> Muhammad Anees
>>> Assistant Professor/Programme Coordinator
>>> COMSATS Institute of Information Technology
>>> Attock 43600, Pakistan
>>> http://www.aneconomist.com
>>> *
>>> *   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/
>>>
>> *
>> *   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/
>
>
>
> --
>
> Best
> ---------------------------
> Muhammad Anees
> Assistant Professor/Programme Coordinator
> COMSATS Institute of Information Technology
> Attock 43600, Pakistan
> http://www.aneconomist.com
> *
> *   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/



-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: [email protected]
e-mail2: [email protected]
*
*   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/


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