TY  - JOUR
AU  - Brown,Charles
AU  - Moffitt,Robert
TI  - The Effect of Ignoring Heteroscedasticity on Estimates of the Tobit Model
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 27
PY  - 1983
Y2  - 1983
UR  - http://www.nber.org/papers/t0027
L1  - http://www.nber.org/papers/t0027.pdf
N1  - Author contact info:
Charles C. Brown
Department of Economics
University of Michigan
Ann Arbor, MI  48109-1220
Tel: 734/763-3036
Fax: 734/647-1186
E-Mail: charlieb@umich.edu

Robert A. Moffitt
Department of Economics
Johns Hopkins University
3400 North Charles Street
Baltimore, MD  21218
Tel: 410/516-7611
Fax: 410/516-7600
E-Mail: moffitt@jhu.edu
AB  - 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.
ER  -