Autocorrelation problems in probit models
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Is there a way to compute robust standard errors for potential autocorrelation problems in
probit models ?
Best regards,
Reynald Majetti
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I think you'll find that the probit MLE itself is inconsistent for the
coefficients when the underlying errors are heteroskedastic and/or not
independent. Hence, the estimates themselves are not useful. Fixing
standard errors for inconsistent coefficient estimates is not really
something you'd want to do....
Lee
On Tue, Apr 23, 2013 at 12:39 PM, Reynald Majetti <
reynald.majetti(a)univ-lorraine.fr> wrote:
Is there a way to compute robust standard errors for potential
autocorrelation problems in probit models ?
Best regards,
Reynald Majetti
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Lee Adkins
Professor of Economics
lee.adkins(a)okstate.edu
learneconometrics.com
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