[Gretl-users] heteroscedastistic tobit model

ROGER MCNEILL 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?

Roger McNeill


More information about the Gretl-users mailing list