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College of Social Sciences (사회과학대학)
Institute of Economics Research (경제연구소)
Seoul Journal of Economics
Seoul Journal of Economics vol.03(2) (Summer 1990)
Heteroscedastic Qualitative Response Model
- Authors
- Moon, ChoonGeol
- Issue Date
- 1990-04
- Citation
- Seoul Journal of Economics, Vol.3 No.2, pp. 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
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