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st: Heteroskedastic Probit Estimation
From
Fred Dzanku <[email protected]>
To
[email protected]
Subject
st: Heteroskedastic Probit Estimation
Date
Sat, 6 Nov 2010 09:54:59 +0000
Dear All,
I am estimating a heteroskedastic probit model but I am not too sure
which variables to include in the heteroskedastic function. This is
because a variable addition test shows that not including as
explanatory variables the variables I specify in het(*) causes my
model suffers from omitted variables bias. What do I do given Cameron
and Trivedi (Page 455)'s advice not to include the variables in het(*)
also as explanatory variables? I am a bit confused about all these.
Can someone please help? Relatedly, is there any way of explicitly
testing which variables to include in het(*)?
Many thanks.
Fred
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