Small-sample properties of tests for heteroscedasticity in the conditional logit model

This paper compares the small-sample properties of several asymp- totically equivalent tests for heteroscedasticity in the conditional logit model. While no test outperforms the others in all of the experiments conducted, the likelihood ratio test and a particular variety of theWald test are found to have good properties in moderate samples as well as being relatively powerful.

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Year of publication:	2006-05
Authors:	Hole, Arne Risa
Institutions:	Department of Economics and Related Studies, University of York
Subject:	conditional logit \| heteroscedasticity

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Extent:	application/pdf
Series:	Health, Econometrics and Data Group (HEDG) Working Papers.
Type of publication:	Book / Working Paper
Classification:	C25 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005129585