Abstract
The paper deals with parameter estimation and the testing of individual parameters in heteroskedastic Tobit models. The statistical properties of semiparametric and maximum likelihood estimators are evaluated. Correspondingt-test statistics are compared. Results from a Monte Carlo experiment indicate that the semiparametric estimator performs relatively better than the maximum likelihood estimator. The associatedt-test statistics appear to perform better than the corresponding maximum likelihood test statistics. *** DIRECT SUPPORT *** A06GP002 00008
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Brännäs, K., Laitila, T. Heteroskedasticity in the Tobit model. Statistical Papers 30, 185–196 (1989). https://doi.org/10.1007/BF02924322
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DOI: https://doi.org/10.1007/BF02924322