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From | Maarten Buis <maartenlbuis@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: hetroscedasticity test after probit |
Date | Thu, 5 Jul 2012 11:53:53 +0200 |
On Thu, Jul 5, 2012 at 11:27 AM, Yuval Arbel wrote: > Maarten, I believe your implication refers to specification errors in > the model, i.e., omission of relevant explanatory variables, leading > to biased and inconsistent estimates and predictions. Am I correct? Not quite, as we defined the probability in terms of the variables in our model, so we are by definition not omitting relevant variables. The problem is that the probability is only defined within the context of the model. A probability is a measure of uncertainty. This does not mean that uncertainty is "unexplainable", we can always find "explanations" for random events and put those "explanations" into variables. However, (hopefully) for substantive reasons we have classified these variables as random/unsystematic. (*) Once we have made our choice there is, by definition, no omitted variable problem, but the difference in variance of the omitted/random/unsystematic variables across included co-variates will still cause problems if we wish to interpret our results in a causal/counter-factual way. Another way to think about this is to consider what would happen if we could control for everything. In that case there is no uncertainty left and the "probabilities" would be either 0 or 1 for all observations and the (linear additive) effects could only be -1, 0, or 1. This is typically not the kind of estimate of interest. Hope this helps, Maarten (*) In practice we typically we do so by omission: we choose a set of variables to include in our model and define everything else as random/unsystematic. -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/