Check for Heteroskedasticity in NLS probit model

[Rufus Helk]

Hi Guys,


I'm working with non-linear least squared probit model, I wonder if I need heteroskedastic robust standard errors correction. Is the heteroskedasticity always present in NLS probit model or it depends on specific characteristics of my data?

Thank you in advance.


Rufus

[Phil Bromiley]

You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. I'm not even sure what exactly you mean by nls probit.

It is certainly possible to have homoskedastic error structures in a probit. This is a little tricky since you're not estimating the error structure directly - you'll need to read up on such error structures in a good econometrics text.