st: Testing for heteroscedasticity in probit models

[Gisele.Schmid@unige.ch]

Dear Statalist-Users,

I am working with a probit model and I suspect heteroscedasticity.  
Before using the command -hetprob-, I would like to perform the  
Davidson and MacKinnon test for heteroscedasticity in probit models  
(Reference: Estimation and inference in Econometrics, 1993, Davidson  
and MacKinnon). Does such a test already exist in Stata? If this is  
not the case, how can I compute it?

Thanks for your help,

Gisèle




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