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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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.

Author(s):Holden, D.
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
Depositing user: Miss Jenna Wright
Date deposited:13 Oct 2010 15:36
Last modified:29 Mar 2019 03:12
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URI:https://strathprints.strath.ac.uk/id/eprint/28083
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