Holden, D. (2011) Testing for heteroskedasticity in the tobit and probit models. Journal of Applied Statistics, 38 (4). pp. 735-744. ISSN 0266-4763Full text not available in this repository. (Request a copy from the Strathclyde author)
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.
|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|
|Depositing user:||Miss Jenna Wright|
|Date Deposited:||13 Oct 2010 15:36|
|Last modified:||27 Apr 2016 15:52|