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Testing for heteroskedasticity in the tobit and probit models

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  • Darryl Holden

Abstract

Non-constant variance across observations (heteroskedasticity) results in the maximum likelihood estimators of tobit and probit model parameters being inconsistent. Some of the available tests for constant variance across observations (homoskedasticity) are discussed and examined in a small Monte Carlo experiment.

Suggested Citation

  • Darryl Holden, 2011. "Testing for heteroskedasticity in the tobit and probit models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(4), pages 735-744, November.
    • Handle: RePEc:taf:japsta:v:38:y:2011:i:4:p:735-744
    DOI: 10.1080/02664760903563684
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    2. Michelli Barros & Manuel Galea & Víctor Leiva & Manoel Santos-Neto, 2018. "Generalized Tobit models: diagnostics and application in econometrics," Journal of Applied Statistics, Taylor & Francis Journals, vol. 45(1), pages 145-167, January.

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