Holden, D. (2011) Testing for heteroskedasticity in the tobit and probit models. Journal of Applied Statistics, 38 (4). pp. 735-744. ISSN 0266-4763
Full text not available in this repository. (Request a copy from the Strathclyde author)Official URL: http://dx.doi.org/10.1080/02664760903563684
Abstract
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.
| Item type: | Article |
|---|---|
| ID code: | 28083 |
| Keywords: | tobit models, probit models, heteroskedasticity, Economic Theory |
| Subjects: | Social Sciences > Economic Theory |
| Department: | Strathclyde Business School > Economics |
| Related URLs: | |
| Depositing user: | Miss Jenna Wright |
| Date Deposited: | 13 Oct 2010 16:36 |
| Last modified: | 12 Jul 2012 13:41 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/28083 |
Actions (login required)
| View Item |