Practitioners corner: A note on the performance of simple specification tests for the Tobit model

Oxford Bulletin of Economics and Statistics

Volumn 61, Issue 1, 1999, Pages 121-127

  Ericson, Peter ^a   Hansen, Jörgen ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039726620     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.00120     Document Type: Article

References (9)

1. Chesher, A. (1983). 'The information matrix test: Simplified calculation via a score test interpretation', Economics Letters Vol. 13, pp. 45-48.
2. Chesher, A. and Irish, M. (1987). 'Residual analysis in grouped data and censored normal linear model', Journal of Econometrics Vol. 34, pp. 33-62.
3. Lancaster, T. (1984). 'The covariance matrix of the information matrix test', Econometrica Vol. 52, pp. 1051-53.
4. Newey, W. K. (1985). 'Maximum likelihood specification testing and conditional moment tests', Econometrica, Vol. 53, pp. 1047-73.
5. Newey, W. K. (1987). 'Specification tests for distributional assumptions in the Tobit model', Journal of Econometrics Vol. 34, pp. 124-45.
6. Pagan, S. and Vella, F. (1989). 'Diagnostic tests for models based on individual data: a survey', Journal of Applied Econometrics Vol. 4, pp. S29-S59.
7. Powell, J. L. (1986). 'Symmetrically trimmed least squares estimation for the Tobit models', Econometrica Vol. 54, pp. 1435-60.
8. Tauchen, G. (1985). 'Diagnostic testing and evaluation of maximum likelihood models', Journal of Econometrics Vol. 30, pp. 415-43.
9. White, H. (1982). 'Maximum likelihood estimation of misspecified models', Econometrica Vol. 50, pp. 1-25.