Testing for heteroskedasticity in the tobit and probit models

D. Holden

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


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 languageEnglish
Pages (from-to)735-744
Number of pages10
JournalJournal of Applied Statistics
Issue number4
Early online date6 Jan 2011
Publication statusPublished - Apr 2011


  • tobit models
  • probit models
  • heteroskedasticity


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