Heteroskedasticity in One-Way Error Component Probit Models
This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic errors or both are analyzed. Monte Carlo simulation...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-08-01
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| Series: | Econometrics |
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| Online Access: | https://www.mdpi.com/2225-1146/7/3/35 |