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 (https://doi.org/10.1080/02664760903563684)
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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.
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Item type: Article ID code: 28083 Dates: DateEventApril 2011Published6 January 2011Published OnlineSubjects: Social Sciences > Economic Theory Department: Strathclyde Business School > Economics Depositing user: Miss Jenna Wright Date deposited: 13 Oct 2010 15:36 Last modified: 08 Apr 2024 18:29 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/28083
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