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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 14:54:48 -0500
At 10:57 AM 4/22/2010, Maarten buis wrote:
-probit-, but the information we are trying to use then
is that these assumptions implie subtle changes in the
shape of the relationship between the observed variable
and the average (i.e. probability) of foreign, and as
we saw in the previous graph, the data contains only
very rough information on the shape of that
relationship. So that is what I meant when I said that
the necesarry information isn't there in the first
place.
True, but if you just throw up your hands and say you will assume no
hetero, that has problems too. You may get estimates that are
misleading, particularly if, say, you are interested in things like
group comparisons of effects. If you have a theoretically plausible
model, you can test whether the variables in the variance equation
have significant effects. Alas, if the model is wrong that can also
lead to incorrect conclusions. But you're taking a risk whatever you
do, so you should think about what makes most sense while realizing
that other things may make sense too.
Also, the rough information becomes less rough if you have ordinal
variables, because ordinal variables convey more information about
the underlying latent variable.
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
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EMAIL: [email protected]
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