Testing for heteroskedasticity in the tobit and probit models

References

• Arabmazar , A. and Schmidt , P. 1982 . Further evidence on the robustness of the Tobit estimator to heteroscedasticity . J. Econometrics , 17 ( 2 ) : 253 – 258 .
   Google Scholar
• Arabmazar , A. and Schmidt , P. 1982 . An investigation of the robustness of the tobit estimator to nonnormality . Econometrica , 50 ( 4 ) : 1055 – 1063 .
   Web of Science ®Google Scholar
• Breusch , T. S. and Pagan , A. R. 1979 . A simple test for heteroscedasticity and random coefficient variation . Econometrica , 47 ( 5 ) : 1287 – 1294 .
   Web of Science ®Google Scholar
• Cameron , A. C. and Trivedi , P. K. 2005 . Microeconometrics: Methods and Applications , Cambridge, , UK : Cambridge University Press .
   Google Scholar
• Chesher , A. and Irish , M. 1987 . Residual analysis in the grouped and censored normal linear model . J. Econometrics , 34 : 33 – 61 .
   Web of Science ®Google Scholar
• Davidson , R. and MacKinnon , J. G. 1984 . Convenient specification tests for logit and probit models . J. Econometrics , 25 ( 3 ) : 241 – 262 .
   Web of Science ®Google Scholar
• Gauss, Aptech Systems, Maple Valley, Washington
   Google Scholar
• Godfrey , L. G. 1988 . Misspecification Tests in Econometrics , Cambridge, , UK : Cambridge University Press .
   Google Scholar
• Greene , W. H. 2003 . Econometric Analysis , 5 , Englewood Cliffs, NJ : Prentice-Hall .
   Google Scholar
• Heij , H. , DeBoer , P. , Franses , P. , Kloek , T. and VanDijk , H. K. 2004 . Econometric Methods with Applications in Business and Economics , Oxford, , UK : Oxford University Press .
   Google Scholar
• Holden , D. 2004 . Testing the normality assumption in the tobit model . J. Appl. Statist. , 31 ( 5 ) : 521 – 532 .
   Web of Science ®Google Scholar
• Hurd , M. 1979 . Estimation in truncated samples when there is heteroscedasticity . J. Econometrics , 11 : 247 – 258 .
   Google Scholar
• Jarque , C. M. 1981 . A test for heteroscedasticity in a limited dependent variable model . Austral. J. Statist. , 23 ( 2 ) : 159 – 163 .
   Google Scholar
• Jarque , C. M. and Bera , A. K. 1982 . Efficient specification tests for limited dependent variable models . Econom. Lett. , 9 ( 2 ) : 153 – 160 .
   Google Scholar
• Klein , R. W. and Spady , R. H. 1993 . An efficient semiparametric estimator for binary response models . Econometrica , 61 ( 2 ) : 387 – 421 .
   Web of Science ®Google Scholar
• Lee , L-F. and Maddala , G. S. 1985 . The common structure of tests for selectivity bias, serial correlation, heteroskedasticity and non-normality in the tobit model . Int. Econom. Rev. , 26 ( part 1 ) : 1 – 20 .
   Google Scholar
• Moffitt , R. 1984 . The estimation of a joint wage-hours labour supply model . J. Labour Econom. , 2 ( 4 ) : 550 – 566 .
   Web of Science ®Google Scholar
• Orme , C. 1992 . Efficient score tests for heteroskedasticity in micro-econometrics . Econometric Rev. , 11 ( part 2 ) : 235 – 252 .
   Google Scholar
• Pagan , A. and Vella , F. 1989 . Diagnostic tests for models based on individual data: A survey . J. Appl. Econometrics , 4 ( suppl ) : s29 – s59 .
   Google Scholar
• Powell , J. L. 1984 . Least absolute deviations estimation for the censored regression model . J. Econometrics , 25 ( 3 ) : 303 – 325 .
   Web of Science ®Google Scholar
• Skeels , C. L. and Vella , F. 1999 . A Monte Carlo investigation of the sampling behaviour of conditional moment tests in Tobit and Probit models . J. Econometrics , 92 ( 2 ) : 275 – 294 .
   Google Scholar
• Stock , J. H. and Watson , M. W. 2007 . Introduction to Econometrics , 2 , Boston : Pearson .
   Google Scholar
• Wells , C. 2003 . Retesting Fair's (1978) model on infidelity . J. Appl. Econometrics , 18 ( 2 ) : 237 – 239 .
   Google Scholar
• White , H. 1982 . Maximum likelihood estimation of misspecified models . Econometrica , 50 : 1 – 16 .
   Web of Science ®Google Scholar