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.

ORCID iDs

Holden, D. ORCID logoORCID: https://orcid.org/0000-0002-4333-6116;
  • Item type:Article
    ID code:28083
    Dates:
    Date
    Event
    April 2011
    Published
    6 January 2011
    Published Online
    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:20 Jan 2021 19:00
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/28083
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