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

This paper compares the small-sample properties of several asymptotically 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 the Wald test are found to have good properties in moderate samples as well as being relatively powerful.

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Year of publication:	2006-07-20
Authors:	Hole, Arne Risa
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2006, 18, p. 1-14
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010629909