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

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  • Arne Risa Hole

Abstract

This 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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File URL: http://www.york.ac.uk/media/economics/documents/herc/wp/06_04.pdf
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Bibliographic Info

Paper 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.

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Date of creation: May 2006
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Handle: RePEc:yor:hectdg:06/04

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Postal: HEDG/HERC, Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom
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Web page: http://www.york.ac.uk/economics/postgrad/herc/hedg/
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Keywords: conditional logit; heteroscedasticity;

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  1. 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.
  2. 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.
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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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