Browse

Heteroscedastic Qualitative Response Model

Cited 0 time in Web of Science Cited 0 time in Scopus
Authors
Moon, ChoonGeol
Issue Date
1990-04
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, Vol.3 No.2, pp. 127-158
Keywords
maximum likelihood estimatorMLEMonte 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
Files in This Item:
Appears in Collections:
College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.03(2) (Summer 1990)
  • mendeley

Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

Browse