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Re: st: Heteroskedastic Probit Model
From
Richard Williams <[email protected]>
To
[email protected], [email protected]
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: [email protected]
WWW: http://www.nd.edu/~rwilliam
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