Hi,
First of all I'm sorry if my question is repeated. I could not find an
answer to it after searching the mail archive or the whole net.
I have estimated a binary choice (probit, to be specific) model using 'glm'
function in R, and now I want to perform some diagnostic tests, among which
testing for heteroscedasticty is most important for my work.
My question is if there are any packages/functions in R which can perform
these tests for glm's. I know that we have the 'lmtest' package which
includes several tests of specifications, but, as the lmtest package is for
*l*inear *m*odels, I am not sure if its results are also valid for
non-linear glm's.
Specifically, functions that could perform Logit and Probit specification
tests described in Davidson and McKinnon (1984) would be most helpful.
Thank you,
Amirreza
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