|
|  |
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: Heterocedasticity
At 11:17 AM 7/27/2006, Armando Tarupi wrote:
help me please, I need make a test for heterocedasticity for the probit
model, thanks
I'm not aware of a nice simple post-estimation command, although
there might be one out there. If you have specific hypotheses about
sources of heteroskedasticity, you could run nested models and do
chi-square contrasts using either probit/hetprob or the user-written
oglm (which is slower but more flexible and powerful). For example,
to test for hetero with price using the auto data, we could do something like
. sysuse auto
(1978 Automobile Data)
. quietly probit foreign weight length price
. est store probit
. quietly hetprob foreign weight length price, het(price)
. est store hetprob
. lrtest probit hetprob, stats force
Likelihood-ratio test LR chi2(1) = 4.29
(Assumption: probit nested in hetprob) Prob > chi2 = 0.0384
------------------------------------------------------------------------------
Model | Obs ll(null) ll(model) df AIC BIC
-------------+----------------------------------------------------------------
probit | 74 -45.03321 -17.73612 4 43.47223 52.68849
hetprob | 74 . -15.59338 5 41.18676 52.70708
------------------------------------------------------------------------------
It might be tempting to just include all the explanatory vars in the
hetero equation, but I've found that that often produces very
unstable results, i.e. the models have trouble converging and
different programs will give you different results.
Doing the same thing with oglm,
. sysuse auto
(1978 Automobile Data)
. quietly oglm foreign weight length price, link(p) store(probit)
. quietly oglm foreign weight length price, link(p) store(hetprob) het(price)
. lrtest probit hetprob, stats
Likelihood-ratio test LR chi2(1) = 4.29
(Assumption: probit nested in hetprob) Prob > chi2 = 0.0384
------------------------------------------------------------------------------
Model | Obs ll(null) ll(model) df AIC BIC
-------------+----------------------------------------------------------------
probit | 74 -45.03321 -17.73612 4 43.47223 52.68849
hetprob | 74 -45.03321 -15.59338 5 41.18676 52.70708
------------------------------------------------------------------------------
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
FAX: (574)288-4373
HOME: (574)289-5227
EMAIL: [email protected]
WWW (personal): http://www.nd.edu/~rwilliam
WWW (department): http://www.nd.edu/~soc
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
