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

DOI10.1080/07474939708800373zbMATH Open0891.62089OpenAlexW2035709422MaRDI QIDQ4355145FDOQ4355145

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

Recommendations

• A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
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• Specification tests for distributional assumptions in the Tobit model
• Testing the Normality Assumption in the Tobit Model

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)

Cites Work

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

Cited In (2)

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

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