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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.

Suggested Citation

  • 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.
  • Handle: RePEc:yor:hectdg:06/04
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    More about this item

    Keywords

    conditional logit; heteroscedasticity;

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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