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

Arne Hole

Health, Econometrics and Data Group (HEDG) Working Papers from HEDG, c/o Department of Economics, University of York

Abstract: 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.

Keywords: conditional logit; heteroscedasticity (search for similar items in EconPapers)
JEL-codes: C25 (search for similar items in EconPapers)
Date: 2006-05
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Citations: View citations in EconPapers (27)

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Journal Article: Small-sample properties of tests for heteroscedasticity in the conditional logit model (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:yor:hectdg:06/04

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