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Re: st: Heteroskedastic Probit Model
From
Mustafa Brahim <[email protected]>
To
[email protected]
Subject
Re: st: Heteroskedastic Probit Model
Date
Thu, 22 Apr 2010 22:17:37 +0800
Dear Maarten and Richard,
Thank you very much for your input. Maarten I know that what you
mentioned is not a personal attack. In fact I appreciate very much the
time and effort you are putting to help others. I am just curious to
know and learn from people like you. and I did learn a lot from the
solutions you provided in the forum.
Richard, I am happy to hear from you. I read a couple of your articles
and I tried to contact you but the email bounced back, that email is
different from the one you are using. in fact today I was reading your
article about oglm. I will try it and see how it goes.
Let me ask my question in simple way: Assuming there is no problem
with functional form and theory. What should I do to check for
heteroskedasticity in probit model?
Again thank you Maarten and Richard.
Ismail
On Thu, Apr 22, 2010 at 10:26 PM, Richard Williams
<[email protected]> wrote:
> 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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