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- 2$\begingroup$ I disagree that there is no error term. The observed binary response minus the conditional expectation is the error term, and its variance is as I stated in my answer. $\endgroup$BigBendRegion– BigBendRegion2021-01-01 15:30:38 +00:00Commented Jan 1, 2021 at 15:30
- $\begingroup$ Any comments on the part of the question asking about why you would need Robust Standard Errors for logistic regression? $\endgroup$Tripartio– Tripartio2021-04-20 14:10:09 +00:00Commented Apr 20, 2021 at 14:10
- 1$\begingroup$ Logistic regression need not be thought of as having an error term. And robust standard errors sometimes are less precise than ordinary estimates. $\endgroup$Frank Harrell– Frank Harrell2023-09-16 11:12:11 +00:00Commented Sep 16, 2023 at 11:12
- $\begingroup$ Heteroscedasticity is to linear regression what scale effects are to logit models. Like in the linear regression case, it depends on what predictors and functional forms go into the regular formula (mean or location structure). However, testing scale effects in logit models can be fragile due to the "complete separation" problem: Not uncommon to provide a huge coefficient of the scale effect, singular Hessian, all standard errors are NA, or algorithm cannot converge. But they are worth examining. Williams wrote Stata packages for these methods. See my answer. $\endgroup$DrJerryTAO– DrJerryTAO2025-04-08 11:42:26 +00:00Commented Apr 8 at 11:42
- $\begingroup$ @BigBendRegion that is an artificial construct in this setting and doesn’t help the discussion. $\endgroup$Frank Harrell– Frank Harrell2025-04-08 14:57:51 +00:00Commented Apr 8 at 14:57
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