Strathprints logo
Strathprints Home | Open Access | Browse | Search | User area | Copyright | Help | Library Home | SUPrimo

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

Full text not available in this repository. (Request a copy from the Strathclyde author)

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, Statistics and Probability, Statistics, Probability and Uncertainty
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: 27 Mar 2014 08:56
URI: http://strathprints.strath.ac.uk/id/eprint/28083

Actions (login required)

View Item