I second Rich's advice. 165 observations is a pretty small N for heteroscedastic probit. But I suspect that even regular probit won't find much either Look at the initial set of iterations to get starting values---the log-likelihood only changes a little.
-----Original Message-----
From: "Richard Williams" <[email protected]>
To: "[email protected]" <[email protected]>; "[email protected]" <[email protected]>
Sent: 4/30/2009 12:42 PM
Subject: Re: st: [Fwd: Heteroskedastic probit]
At 10:27 AM 4/30/2009, [email protected] wrote:
>Heteroskedastic probit model Number of obs =
>165
> Zero outcomes =
> 56
> Nonzero outcomes =
>109
>
> Wald chi2(3) =
>1.11
>Log likelihood = -102.3917 Prob > chi2 =
>0.7758
>
>------------------------------------------------------------------------------
> | Coef. Std. Err. z P>|z| [95% Conf.
>Interval]
>-------------+----------------------------------------------------------------
>newproc |
> normscapab | 3.722963 3.615273 1.03 0.303 -3.362842
>10.80877
> e6 | -.2859454 .6005927 -0.48 0.634 -1.463085
>.8911945
> d12b | -.0033544 .0098363 -0.34 0.733 -.0226332
>.0159244
> _cons | -.1114548 1.10271 -0.10 0.919 -2.272727
>2.049817
>-------------+----------------------------------------------------------------
>lnsigma2 |
> normscapab | 1.320455 1.518283 0.87 0.384 -1.655325
>4.296234
>------------------------------------------------------------------------------
>Likelihood-ratio test of lnsigma2=0: chi2(1) = 0.61 Prob > chi2 =
>0.4342
>
>The model now converged but the prob is very high. Should I suppose the
>presence of Heteroskedasticity now and before?
I would suppose just the opposite. Neither the z value in the
lnsigma2 equation nor the corresponding LR test indicate that there
is a problem with hetero, at least with normscapab. Indeed, having
the hetero equation may be keeping you from finding significant
results in the choice equation. It looks to me like you should just
do a regular probit model.
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME: (574)289-5227
EMAIL: [email protected]
WWW: http://www.nd.edu/~rwilliam
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