A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models

DOI10.1016/S0304-4076(98)00092-XMaRDI QIDQ1806695zbMATH OpenOpenAlexFDO

Authors C. L. Skeels, Francis Vella

Publication date 10 February 2000

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(98)00092-x

zbMATH Keywords

misspecificationprobitgeneralized residualsTobitconditional moment tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models
• A Monte Carlo comparison of estimators for a bivariate probit model with selection
• Testing for heteroskedasticity in the Tobit and probit models

Cites work

• scientific article; zbMATH DE number 193093 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 815755 (Why is no real title available?)
• A Consistent Conditional Moment Test of Functional Form
• A Test for Misspecification in the Censored Normal Model
• Asymptotic Expansions of the Information Matrix Test Statistic
• Diagnostic testing and evaluation of maximum likelihood models
• Generalised residuals
• Implicit Alternatives and the Local Power of Test Statistics
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models
• Residual analysis in the grouped and censored normal linear model
• Small sample properties of alternative forms of the Lagrange multiplier test
• The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model
• The size bias of White's information matrix test

Cited in

(5)

• Testing for heteroskedasticity in the Tobit and probit models
• On specification testing of ordered discrete choice models
• A test for bivariate normality with applications in microeconometric models
• Assessing individual skill influence on housework time of Italian women: an endogenous-switching approach
• Bivariate non-normality in the sample selection model

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• SHAZAM

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