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Probit with heteroscedasticity: an application to Indian poverty analysis

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Ashok Parikh
Kunal Sen

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Abstract

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.

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 13 (2006)
Issue (Month): 11 (September)
Pages: 699-707
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Handle: RePEc:taf:apeclt:v:13:y:2006:i:11:p:699-707

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  1. Ashwini Deshpande, 2000. "Does Caste Still Define Disparity? A Look at Inequality in Kerala, India," American Economic Review, American Economic Association, vol. 90(2), pages 322-325, May. [Downloadable!] (restricted)
  2. Angus Deaton & Alessandro Tarozzi, 2000. "Prices and poverty in India," Working Papers 213, Princeton University, Woodrow Wilson School of Public and International Affairs, Research Program in Development Studies.. [Downloadable!]
  3. Gunewardena, Dileni & Van de Walle, Dominique, 2000. "Sources of ethnic inequality in Vietnam," Policy Research Working Paper Series 2297, The World Bank. [Downloadable!]
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  4. Vani Borooah & Sriya Iyer, 2005. "Vidya , Veda , and Varna : The influence of religion and caste on education in rural India," The Journal of Development Studies, Taylor and Francis Journals, vol. 41(8), pages 1369-1404, November. [Downloadable!] (restricted)
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  5. Mark N. Harris & Mark Rogers & Anthony Siouclis, 2003. "Modelling firm innovation using panel probit estimators," Applied Economics Letters, Taylor and Francis Journals, vol. 10(11), pages 683-686, September. [Downloadable!] (restricted)
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  6. Blundell, Richard & Laisney, Francois & Lechner, Michael, 1993. "Alternative Interpretations of Hours Information in an Econometric Model of Labour Supply," Empirical Economics, Springer, vol. 18(3), pages 393-415.
  7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
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