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RE: st: Heteroskedasticity logit model


From   Nerissa Fanoembi <nerissa_f@hotmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Heteroskedasticity logit model
Date   Wed, 11 Dec 2013 16:12:12 +0100

Thanks for your help.

The hetprob shows a problem of heteroskedasticity.
Do you know how to solve hetero in the logit model then? 

----------------------------------------
> Date: Wed, 11 Dec 2013 09:44:49 -0500
> To: statalist@hsphsun2.harvard.edu; statalist@hsphsun2.harvard.edu
> From: richardwilliams.ndu@gmail.com
> Subject: Re: st: Heteroskedasticity logit model
>
> The user-written -oglm- routine available at SSC can estimate ordinal
> and binary hetero models using logit, probit, and other links. There
> are various controversies concerning such models. See, for example,
>
> http://www3.nd.edu/~rwilliam/xsoc73994/RW_ESRA2013.pptx
>
> and the sources it cites. The oglm support page is at
>
> http://www3.nd.edu/~rwilliam/oglm/index.html
>
> Incidentally, I would probably just go ahead and use hetprob unless
> you really need the other features that oglm offers.
>
> At 06:47 AM 12/11/2013, Nerissa Fanoembi wrote:
>>Hello,
>>I am running a pooled logit model. The data is randomly sampled
>>cross sections from 2004 till 2012. I want to check the
>>heteroskedasticity problem. But there is no heteroskedasticity test
>>available for the logit model. How is it possible to test
>>heteroskedasticity then? The probit model is almost similar as the
>>probit model. Therefore I run the hetprob command where I include
>>all independent variables (categorical and continuous independent
>>variables). The test shows that heteroscedasticity is a problem (the
>>prob of the Likelihood-ratio test of lnsigma2 is 0.0001). In
>>addition, what can I do to solve the heteroskedasticity problem in
>>the logit model? And what is the useful procedure to test
>>heteroskedasticity in a logit model?
>>Best regards,
>>Nerissa Fanoembi.
>>*
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>
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
> OFFICE: (574)631-6668, (574)631-6463
> HOME: (574)289-5227
> EMAIL: Richard.A.Williams.5@ND.Edu
> WWW: http://www.nd.edu/~rwilliam
>
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