[Gretl-users] heteroscedastistic tobit model
roger_mcneill at shaw.ca
Sat Jul 6 17:38:07 EDT 2013
According to the gretl test for normality of residuals in my estimated Tobit model, heteroscedasticity is a problem, meaning the Tobit estimator is inconsistent. Does gretl have an alternative estimator for censored regressions such as a least absolute deviations estimator or an maximum likelihood estimator that is consistent in the face of non normal errors?
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