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Re: st: Heteroskedasticity logit model


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Heteroskedasticity logit model
Date   Wed, 11 Dec 2013 11:24:02 -0500

The hetero model is supposed to be a solution for dealing with hetero, not just a means of detecting it. How it works, and how well, are discussed in the materials I sent earlier. 

Sent from my iPad

> On Dec 11, 2013, at 10:12 AM, Nerissa Fanoembi <nerissa_f@hotmail.com> wrote:
> 
> 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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>> * http://www.ats.ucla.edu/stat/stata/                         
> *
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