Testing for heteroskedasticity in the tobit and probit models |
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| Authors: | Darryl Holden |
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| Institution: | Department of Economics , University of Strathclyde , Glasgow, UK |
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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. |
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| Keywords: | tobit probit heteroskedasticity score test Monte Carlo |
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