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)

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: https://orcid.org/0000-0002-4333-6116

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• Item metadata

  Item type:	Article
  ID code:	28083
  Dates:	Date Event April 2011 Published 6 January 2011 Published Online
  Subjects:	Social Sciences > Economic Theory
  Department:	Strathclyde Business School > Economics
  Depositing user:	Miss Jenna Wright
  Date deposited:	13 Oct 2010 15:36
  Last modified:	11 Nov 2024 09:34
  Related URLs:	Scopus publication
  URI:	https://strathprints.strath.ac.uk/id/eprint/28083