Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models

DOI10.1080/07474939708800373MaRDI QIDQ4355145zbMATHOpenAlexFDO

Authors Francis Vella, C. L. Skeels

Publication date 25 June 1998

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939708800373

zbMATH Keywords

heteroskedasticityprobit modelsnon-normalityomitted variablestobit modelsmisspecificationsconditional moment testssize robustness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

Recommendations

• A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives
• Specification tests for distributional assumptions in the Tobit model
• Testing the Normality Assumption in the Tobit Model

Cites work

• Asymptotic Expansions of the Information Matrix Test Statistic
• Diagnostic testing and evaluation of maximum likelihood models
• Maximum Likelihood Estimation of Misspecified Models
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• The Sensitivity of Some General Checks to Omitted Variables in the Linear Model

Cited in

(2)

• The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power
• A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models

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