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st: Heteroskedastic Probit Model
From
Mustafa Brahim <[email protected]>
To
[email protected]
Subject
st: Heteroskedastic Probit Model
Date
Thu, 22 Apr 2010 16:51:04 +0800
Dear Stata users,
I run this model:
hetprob crisis m2mult m2reser usrealra creditgd reserves rerdev bfl
privclai shordebt shortdeb, het( m2mult m2reser usrealra creditgd
reserves rerdev bfl privclai shordebt shortdeb )
I included all variables in the het ( ) option because I am not sure
which one may be causing the problem of heteroskedasticity. And this
is the result:
---------------------------------------------------------------------------------------------------------------------
Heteroskedastic probit model Number of obs = 833
Zero outcomes = 708
Nonzero outcomes = 125
Wald chi2(10) = 5.73
Log likelihood = -144.4906 Prob > chi2 = 0.8374
-----------------------------------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z|
[95% Conf. Interval]
-------------+-------------------------------------------------------------------------------------------------
crisis |
m2mult | -.2181513 .2241422 -0.97 0.330 -.6574619 .2211593
m2reser | -.2453235 .5018176 -0.49 0.625 -1.228868 .7382209
usrealra | -2.490834 1.276029 -1.95 0.051 -4.991805
.0101379
creditgd | -.5277773 .4011932 -1.32 0.188 -1.314102
.2585468
reserves | -1.951593 1.126167 -1.73 0.083 -4.15884
.2556536
rerdev | -.8494946 4985961 -1.70 0.088 -1.826725
.1277359
bfl | .0908733 .1461244 0.62 0.534
-.1955254 .3772719
privclai | 2.569919 1.285969 2.00 0.046 .0494657
5.090372
shordebt | -1.7086 .8392513 -2.04 0.042 -3.353502
-.0636975
shortdeb | 1.312913 .6240398 2.10 0.035 .089817
2.536008
_cons | .8284442 .6997099 1.18 0.236 -.542962
2.19985
-------------+-----------------------------------------------------------------------------------------------
lnsigma2 |
m2mult | .0798557 .3237996 0.25 0.805 -.5547798 .7144913
m2reser | -.9097904 .6999602 -1.30 0.194 -2.281687 .4621064
usrealra | 1.093203 .3208028 3.41 0.001 .4644409
1.721965
creditgd | .4358112 .6106535 0.71 0.475 -.7610477 1.63267
reserves | .6430296 .4342553 1.48 0.139 -.2080951
1.494154
rerdev | -.9071082 .3128004 -2.90 0.004 -1.520186
-.2940307
bfl | .5611073 .3041175 1.85 0.065 -.034952
1.157167
privclai | -1.616153 .6099832 -2.65 0.008 -2.811698
-.4206083
shordebt | 1.475549 .6217962 2.37 0.018 .2568507 2.694247
shortdeb | -2.131526 .5119575 -4.16 0.000 -3.134945 -1.128108
---------------------------------------------------------------------------------------------------------------
Likelihood-ratio test of lnsigma2=0: chi2(10) = 40.65 Prob > chi2 = 0.0000
I have a couple of questions:
1) I understand that runing hetprob procedure adjusts the estimates
and standard errors and therefore corrects for heteroskedasticity? is
this correct? can I conclude that all variables with Prob
2) if that's the case which table I shouls refer to? the first or the
second which shows lnsigma2?
3) since the Prob > chi2 = 0.0000 is less than 0.005, it shows that
there is a problem of heteroskedasticity. Can we tell from the second
tablewhich are the variables causing the problem?
Appreciate your comments and help,
Ismail
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