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Small-sample properties of tests for heteroscedasticity in the conditional logit model

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  • Arne Risa Hole

    ()
    (National Primary Care Research and Development Centre, Centre for Health Economics, University of York)

Abstract

This 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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File URL: http://www.accessecon.com/pubs/EB/2006/Volume3/EB-06C20063A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2006)
Issue (Month): 18 ()
Pages: 1-14

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Handle: RePEc:ebl:ecbull:eb-06c20063

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  1. Louviere, Jordan J, 2001. " What If Consumer Experiments Impact Variances as Well as Means? Response Variability as a Behavioral Phenomenon," Journal of Consumer Research, University of Chicago Press, vol. 28(3), pages 506-11, December.
  2. DeShazo, J. R. & Fermo, German, 2002. "Designing Choice Sets for Stated Preference Methods: The Effects of Complexity on Choice Consistency," Journal of Environmental Economics and Management, Elsevier, vol. 44(1), pages 123-143, July.
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Cited by:
  1. BesedeŇ°, Tibor & Deck, Cary & Sarangi, Sudipta & Shor, Mikhael, 2012. "Decision-making strategies and performance among seniors," Journal of Economic Behavior & Organization, Elsevier, vol. 81(2), pages 524-533.
  2. 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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