Tuesday, April 28, 2020

hetprobit and robust

Hello,

I have been readig on this forum and if I understand correctly, hetprobit estimates a probit model with hetereoscedasticity. However, when I look at the help page in Stata of hetprobit, I see that the option vc(robust) still exists. This seems strange to me, given that I assume that the hetprobit command already takes into account this heteroscedasticity. Could anyone clarify this?

Thank you very much!
Timea

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