The paper deals with parameter estimation and the testing of individual parameters in heteroskedastic Tobit models. The statistical
properties of semiparametric and maximum likelihood estimators are evaluated. Corresponding
t-test statistics are compared. Results from a Monte Carlo experiment indicate that the semiparametric estimator performs relatively
better than the maximum likelihood estimator. The associated
t-test statistics appear to perform better than the corresponding maximum likelihood test statistics. *** DIRECT SUPPORT ***
A06GP002 00008