Heteroscedastic Qualitative Response Model

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.