Moussa, Richard Kouamé - In: Econometrics : open access journal 7 (2019) 3/35, pp. 1-22
This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic errors or both are analyzed. Monte Carlo...