Heteroskedasticity in the Tobit model

• 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.

Subject headings

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

Publication and Content Type

ref (subject category)

art (subject category)