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Re: st: Predicted probabilities after oprobit w/robust standard errors
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From |
Nick Winter <[email protected]> |
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To |
[email protected] |
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Subject |
Re: st: Predicted probabilities after oprobit w/robust standard errors |
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Date |
Fri, 02 Jun 2006 19:35:06 -0400 |
Beating a horse that I am 95% confident is already dead:
To put it another way, the variance of the underlying distribution (that
puts you with certain probabilities in each response category) is
normalized to one in ordered probit. This is analogous to the standard
error of the regression (Root MSE). When we estimate an OLS regression
with robust standard errors, our estimate of Root MSE does not change --
that is, our estimate of the variance of the residuals does not
change. What changes is our estimate of the variance of the parameters
(across hypothetical repeated samples).
--NIck
At 06:14 PM 6/2/2006, you wrote:
At 02:40 PM 6/2/2006, Nick Winter wrote:
No.
You are confusing the (sampling) variance of the various estimates, with
the variance of the underlying distribution. The latter is normalized to
one regardless of the technique used to estimate the sampling variances.
--NW
--------------------------------------------------------
Nicholas Winter 607.255.8819 t
Assistant Professor 607.255.4530 f
Department of Government [email protected] e
308 White Hall falcon.arts.cornell.edu/nw53 w
Cornell University
Ithaca, NY 14853-4601
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