Heteroskedasticity in the Tobit model |
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| Authors: | Kurt Brännäs Thomas Laitila |
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| Affiliation: | 1. Kurt Br?nn?s and Thomas Laitila Department of Statistics, University of Ume?, S-901 87, Ume?, Sweden
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| Abstract: | The paper deals with parameter estimation and the testing of individual parameters in heteroskedastic Tobit models. The statistical properties of semiparametric and maximum likelihood estimators are evaluated. Correspondingt-test statistics are compared. Results from a Monte Carlo experiment indicate that the semiparametric estimator performs relatively better than the maximum likelihood estimator. The associatedt-test statistics appear to perform better than the corresponding maximum likelihood test statistics. *** DIRECT SUPPORT *** A06GP002 00008 |
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