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Heteroscedastic Qualitative Response Model
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- Authors
- 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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