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Re: st: Heteroscedastic logit model
From
Maarten Buis <[email protected]>
To
[email protected]
Subject
Re: st: Heteroscedastic logit model
Date
Fri, 20 May 2011 10:52:23 +0200
On Fri, May 20, 2011 at 10:08 AM, Dieter Somers wrote:
> I was also wondering whether there exists a general test that checks
> for heteroscedasticity in a conditional logit model (for instance a
> command similar to the 'hettest') ?
Heteroskedasticity is a much biger problem and much harder to check in
non-linear models than in linear regression, so I think that no such
test exists or even can exist. At some point you have to live with the
fact that your model contains assumptions that cannot be tested. For
more on this, see:
http://www.stata.com/statalist/archive/2010-11/msg00996.html
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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