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.
Original language | English |
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Pages (from-to) | 735-744 |
Number of pages | 10 |
Journal | Journal of Applied Statistics |
Volume | 38 |
Issue number | 4 |
Early online date | 6 Jan 2011 |
DOIs | |
Publication status | Published - Apr 2011 |
Keywords
- tobit models
- probit models
- heteroskedasticity