학술저널
Heteroscedastic Qualitative Response Model
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 3 No.2
-
1990.06127 - 157 (30 pages)
- 5
커버이미지 없음
A qualitative response model with heteroscedastic errors is studied. First, the heteroscedastic maximum likelihood estimator and its asymptotic properties are derived. Then, inconsistency of the standard (homoscedastic) maximum likelihood estimator is proved. Lastly, two empirical examples and numerical experiments follow to illustrate the feasibility of the heteroscedastic maximum likelihood estimator.
Abstract
Ⅰ. Introduction
Ⅱ. Heteroscedastic Probit and Logit Models
Ⅲ. Inconsistency of the Homoscedastic MLE under Heteroscedasticity
Ⅳ. Empirical Examples
Ⅴ. Numerical Experiment
Ⅵ. Conclusion
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