Small-sample properties of tests for heteroscedasticity in the conditional logit model
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.
|Date of creation:||May 2006|
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