Generally, testing for heteroscedasticity is fraught with danger: in particular something like Bartlett's test depends on normality so that a rejection may be as much a function of non-normality as it is of unequal variances.
George Box once wrote (around 1952, but don't rely on my memory) "Testing for heteroscedasticity is like putting to sea in a rowboat to see if it's safe for the Queen Mary to sail."
Tony
Peter A. Lachenbruch
Department of Public Health
Oregon State University
Corvallis, OR 97330
Phone: 541-737-3832
FAX: 541-737-4001
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of [email protected]
Sent: Sunday, November 08, 2009 10:16 AM
To: [email protected]
Subject: st: Testing for heteroscedasticity in probit models
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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