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

Arne Hole

Economics Bulletin, 2006, vol. 3, issue 18, 1-14

Abstract: 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.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2006-07-20
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Citations: View citations in EconPapers (25)

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Working Paper: Small-sample properties of tests for heteroscedasticity in the conditional logit model (2006)
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