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Testing for heteroskedasticity in the tobit and probit models

Holden, D. (2011) Testing for heteroskedasticity in the tobit and probit models. Journal of Applied Statistics, 38 (4). pp. 735-744. ISSN 0266-4763

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Non-constant variance across observations (heteroskedasticity) results in the maximum likelihood estimators of tobit and probit model parameters being inconsistent. Some of the available tests for constant variance across observations (homoskedasticity) are discussed and examined in a small Monte Carlo experiment.