The Effect of Ignoring Heteroscedasticity on Estimates of the Tobit Model / Charles Brown, Robert Moffitt.

Format:

Book

Author/Creator:

Brown, Charles.

Contributor:

National Bureau of Economic Research.

Moffitt, Robert.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0027.

NBER technical working paper series no. t0027

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1983.

Summary:

We consider the sensitivity of the Tobit estimator to heteroscedasticity. Our single independent variable is a dummy variable whose coefficient is a difference between group means, and the error variance differs between groups. Heteroscedasticity biases the Tobit estimate of the two means in opposite directions, so the bias in estimating their difference can be significant. This bias is not monotonically related to the true difference, and is greatly increased if the limit observations are not available. Perhaps surprisingly, the Tobit estimates are sometimes more severely biased than are OLS estimates.

Notes:

Print version record

1983.