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Re: st: oglm and heterogeneous choice models
From
Richard Williams <[email protected]>
To
[email protected]
Subject
Re: st: oglm and heterogeneous choice models
Date
Mon, 24 Oct 2011 18:19:43 -0500
At 01:12 PM 10/24/2011, Rourke O'Brien wrote:
I have a follow up question on heterogeneous choice models.
I am interested in testing which variables significantly predict
residual variance. I've tried many configurations of the "sw, pe(.05):
oglm y x1 x2 x3 x4, eq2(x1 x2 x3 x4) flip" but have not been able to
achieve convergence. Yet, when I use the gologit2 command and the
autofit option, the model runs smoothly and I am told which covariates
do not meet criteria for parallel line assumptions. I can then run the
model using gologit2 and specify which predictors meet the parallel
line assumptions and which do not. Is this an appropriate strategy? I
am ultimately interested in testing for an interaction in a logistic
model.
Is the dv dichotomous? These models can be difficult to estimate as
is, and are even tougher with a dichotomous dv.
The oglm help recommends using the -lr- option of -sw-. The default
-wald- option gets confused when the same variable is in both the
variance and choice equations, i.e. it tests the variable in both
equations when you only want it tested in the variance equation.
Either a brant test or gologit2 can identify variables that are
problematic. You can try including those variables in the variance
equation of a hetero model -- it may or may not work well.
Even though I programmed oglm to support sw, I am not crazy about its
use. In my Stata Journal article (Stata Journal 10(4):540-567) I
suggested you think of this as being like a diagnostic test. If the
assumption of homogeneous errors seems to be violated, think about
other ways to solve the problem, e.g. add a variable, add a squared
term. I make the same advice for OLS models where hetero seems to be
a problem -- see if there is some reasonable way to make the hetero
go away by tweaking your model.
-------------------------------------------
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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