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| From | Richard Williams <Williams.NDA@comcast.net> |
| To | statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Heteroskedastic Probit Model |
| Date | Thu, 22 Apr 2010 09:26:02 -0500 |
At 03:51 AM 4/22/2010, Mustafa Brahim wrote:
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 )
You need some decent theory to run these models. A mis-specified variance equation may actually make things worse than no variance equation at all. Conversely, if you take a kitchen sink approach and just toss everything into the variance equation, you may have problems with multicollinearity. oglm (available from SSC) is a generalization of hetprob. You may want to take a look at the oglm support page (and the readings it refers to) for more on the pros and cons of hetero models:
http://www.nd.edu/~rwilliam/oglm/index.html ------------------------------------------- Richard Williams, Notre Dame Dept of Sociology OFFICE: (574)631-6668, (574)631-6463 HOME: (574)289-5227 EMAIL: Richard.A.Williams.5@ND.Edu WWW: http://www.nd.edu/~rwilliam * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/