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

DOI10.1016/S0304-4076(98)00092-XzbMATH Open0945.62125OpenAlexW2030891176MaRDI QIDQ1806695FDOQ1806695

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

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

zbMATH Keywords

misspecificationprobitgeneralized residualsTobitconditional moment tests

Mathematics Subject Classification ID

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

Cites Work

• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Diagnostic testing and evaluation of maximum likelihood models
• A Consistent Conditional Moment Test of Functional Form
• Title not available (Why is that?)
• Title not available (Why is that?)
• Residual analysis in the grouped and censored normal linear model
• Generalised residuals
• Asymptotic Expansions of the Information Matrix Test Statistic
• The size bias of White's information matrix test
• Small sample properties of alternative forms of the Lagrange multiplier test
• Implicit Alternatives and the Local Power of Test Statistics
• A Test for Misspecification in the Censored Normal Model
• The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model
• Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models
• Title not available (Why is that?)

Cited In (5)

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

Uses Software

• R
• SHAZAM

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