TY - JOUR
T1 - Probit with heteroscedasticity
T2 - An application to Indian poverty analysis
AU - Parikh, A.
AU - Sen, K.
PY - 2006/9/15
Y1 - 2006/9/15
N2 - This study argues that in limited dependent variable models, when there is heteroscedasticity, a probit model with a heteroscedastic structure should be estimated. The problem is illustrated using unit record data from the Indian National Sample Survey to analyse the determinants of poverty at household level. It is found that these biases are large even with large number of observations because in the limited dependent variable case, the bias does not vanish asymptotically when the assumption of homoscedasticity breaks down. Both regression coefficients and marginal effects differ widely between probit and hetprobit models in this study.
AB - This study argues that in limited dependent variable models, when there is heteroscedasticity, a probit model with a heteroscedastic structure should be estimated. The problem is illustrated using unit record data from the Indian National Sample Survey to analyse the determinants of poverty at household level. It is found that these biases are large even with large number of observations because in the limited dependent variable case, the bias does not vanish asymptotically when the assumption of homoscedasticity breaks down. Both regression coefficients and marginal effects differ widely between probit and hetprobit models in this study.
UR - http://www.scopus.com/inward/record.url?scp=33748480453&partnerID=8YFLogxK
U2 - 10.1080/13504850500402096
DO - 10.1080/13504850500402096
M3 - Article
AN - SCOPUS:33748480453
VL - 13
SP - 699
EP - 707
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 11
ER -