There is also the possibility, if not the likelihood, that
heteroscedasticity tests in probit models may detect other forms of
misspecification, including omitted variable bias.
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Nick Cox
Sent: Monday, November 09, 2009 8:42 AM
To: [email protected]
Subject: st: RE: RE: Testing for heteroscedasticity in probit models
G. E. P. Box.
Non-normality and tests on variances.
Biometrika 1953 40: 318-335; doi:10.1093/biomet/40.3-4.318
Nick
[email protected]
Lachenbruch, Peter
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."
[email protected]
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?
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