Testing for heteroskedasticity in the tobit and probit models

D. Holden

Research output: Contribution to journalArticle

2 Citations (Scopus)

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.
LanguageEnglish
Pages735-744
Number of pages10
JournalJournal of Applied Statistics
Volume38
Issue number4
Early online date6 Jan 2011
DOIs
Publication statusPublished - Apr 2011

Fingerprint

Tobit Model
Heteroskedasticity
Probit Model
Testing
Monte Carlo Experiment
Inconsistent
Maximum Likelihood Estimator
Observation
Probit model
Tobit model
Maximum likelihood estimator
Monte Carlo experiment

Keywords

  • tobit models
  • probit models
  • heteroskedasticity

Cite this

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Testing for heteroskedasticity in the tobit and probit models. / Holden, D.

In: Journal of Applied Statistics, Vol. 38, No. 4, 04.2011, p. 735-744.

Research output: Contribution to journalArticle

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