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Re: st: Re: heteroscedasticity in logit/ probit model
From
Richard Williams <[email protected]>
To
[email protected]
Subject
Re: st: Re: heteroscedasticity in logit/ probit model
Date
Wed, 24 Nov 2010 13:56:12 -0500
At 11:39 AM 11/24/2010, Maarten buis wrote:
you'll really need to do some reading. Since these models are so
sensitive, you really need to know what you are doing. A good entry
point for that literature is (Williams 2009). But my position is that
that problem is basically unsolvable, so not worth worrying about.
Hope that helps,
Maarten
Williams, R. 2009. Using heterogenous choice models to compare logit
and probit coefficients across groups. Sociological Methods & Research
37: 531--559.
Also see
http://www.nd.edu/~rwilliam/oglm/oglm_Stata.pdf
I hate to say don't worry about it; despair might be a more
appropriate reaction, as the problems are potentially serious and the
solutions can be problematic. I think you at least want to understand
what the problems are though. The above paper also suggests that if
hetero is present, you may be able to make model modifications that
take care of it, much as you might in an OLS regression. There is
also work that suggests these models work better with ordinal dep
vars rather than binary.
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
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