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From | "JVerkuilen (Gmail)" <jvverkuilen@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: heteroskedasticity in ordered probit model |
Date | Sun, 23 Dec 2012 11:30:14 -0500 |
Rich Williams' good advice is apropos, but the heteroscedastic probit model is kind of fragile and there's an inherent ill-conditioning to it. You may well be running it too lean in terms of N. I say this speaking as someone who has advocated for the interpretation of heteroscedasticity terms in models as often being substantively important, so if it's important to you then it may be worth modeling, but often heteroscedasticity is "apparent", caused primarily by an omitted variable, a poor choice of link function (i.e., maybe you should have fit logit or even cauchit instead), or something else. You may also be better off simply using bootstrapping for your standard errors. Just some things to think about. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/