Distributional specification tests against semiparametric alternatives

DOI10.1016/0304-4076(91)90083-PMaRDI QIDQ756347zbMATH OpenOpenAlexFDO

Authors Simon Peters, Richard J. Smith

Publication date 1991

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

Full work available at URL https://doi.org/10.1016/0304-4076(91)90083-p

zbMATH Keywords

semiparametric estimationTobit modelrobust estimationmaximum likelihood estimatorMonte Carlo resultsdistributional specification testsfirst derivatives of semiparametric criterion functionsHausmann testLagrange multiplier versionslimited dependent variable models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Recommendations

• Efficient specification tests for limited dependent variable models
• Specification tests for distributional assumptions in the Tobit model
• Tests of specification in econometrics
• Tests of specification for parametric and semiparametric models
• A Hausman specification test based on root-\(N\)-consistent semiparametric estimators

Cites work

• scientific article; zbMATH DE number 131052 (Why is no real title available?)
• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• scientific article; zbMATH DE number 3336465 (Why is no real title available?)
• scientific article; zbMATH DE number 3373921 (Why is no real title available?)
• A Monte Carlo comparison of estimators for censored regression models
• A Remark on Hausman's Specification Test
• An Investigation of the Robustness of the Tobit Estimator to Non-Normality
• Least absolute deviations estimation for the censored regression model
• Maximum Likelihood Estimation of Misspecified Models
• Robust Statistics
• Specification Tests in Econometrics
• Specification tests for distributional assumptions in the Tobit model
• Symmetrically Trimmed Least Squares Estimation for Tobit Models
• Tests of specification in econometrics

Cited in

(8)

• A Hausman specification test based on root-\(N\)-consistent semiparametric estimators
• Tests of specification for parametric and semiparametric models
• A test of the normality assumption in ordered probit model
• Specification tests for distributional assumptions in the Tobit model
• Maximum likelihood estimation and a specification test for non-normal distributional assumption for the accelerated failure time models
• A specification test for models estimated by the Cragg estimator
• Specification diagnostics based on Laguerre alternatives for econometric models of duration
• On the choice between sample selection and two-part models

This page was built for publication: Distributional specification tests against semiparametric alternatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q756347)