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Heteroskedasticity in the Tobit model
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
1989 (English)In: Statistical papers, ISSN 0932-5026, E-ISSN 1613-9798, Vol. 30, no 1, 185-196 p.Article in journal (Refereed) Published
Abstract [en]

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. Corresponding t-test statistics are compared. Results from a Monte Carlo experiment indicate that the semiparametric estimator performs relatively better than the maximum likelihood estimator. The associated t-test statistics appear to perform better than the corresponding maximum likelihood test statistics.

Place, publisher, year, edition, pages
1989. Vol. 30, no 1, 185-196 p.
National Category
Economics
Identifiers
URN: urn:nbn:se:umu:diva-64777DOI: 10.1007/BF02924322OAI: oai:DiVA.org:umu-64777DiVA: diva2:602676
Available from: 2013-02-02 Created: 2013-02-02 Last updated: 2017-12-06Bibliographically approved

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Brännäs, Kurt

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