Small-sample properties of tests for heteroscedasticity in the conditional logit model
AbstractThis paper compares the small-sample properties of several asymp- totically 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 theWald test are found to have good properties in moderate samples as well as being relatively powerful.
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Bibliographic InfoPaper provided by HEDG, c/o Department of Economics, University of York in its series Health, Econometrics and Data Group (HEDG) Working Papers with number 06/04.
Date of creation: May 2006
Date of revision:
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conditional logit; heteroscedasticity;
Other versions of this item:
- Arne Risa Hole, 2006. "Small-sample properties of tests for heteroscedasticity in the conditional logit model," Economics Bulletin, AccessEcon, vol. 3(18), pages 1-14.
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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