SHERP

Heteroscedastic Qualitative Response Model

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Authors
Moon, ChoonGeol
Issue Date
1990
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 3 (No. 2 1990): 127-158
Keywords
maximum likelihood estimator; MLE; Monte carlo study
Abstract
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.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/891
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.03(2) (Summer 1990)
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