Small-sample properties of tests for heteroscedasticity in the conditional logit model
AbstractThis paper compares the small-sample properties of several asymptotically equivalent tests for heteroscedasticity in the conditional logit model. While no test outperforms the others in all of the experiments conducted, the likelihood ratio test and a particular variety of the Wald test are found to have good properties in moderate samples as well as being relatively powerful.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2006)
Issue (Month): 18 ()
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Other versions of this item:
- Arne Risa Hole, 2006. "Small-sample properties of tests for heteroscedasticity in the conditional logit model," Health, Econometrics and Data Group (HEDG) Working Papers 06/04, HEDG, c/o Department of Economics, University of York.
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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- Sudipta Sarangi & Tibor Besedes & Cary Deck & Mikhael Shor, . "Decision-making Strategies and Performance among Seniors," Departmental Working Papers 2011-08, Department of Economics, Louisiana State University.
- Gaetano Martino & Paolo Polinori, 2011. "Productive process innovation as sequential adjustment of the hybrid governance structure: the case of the poultry sector," Quaderni del Dipartimento di Economia, Finanza e Statistica 88/2011, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
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