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Heteroskedasticity ...
Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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