Distributional specification tests against semiparametric alternatives

DOI10.1016/0304-4076(91)90083-PzbMATH Open0722.62068OpenAlexW1965529353MaRDI QIDQ756347FDOQ756347

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

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

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)

Cites Work

• Least absolute deviations estimation for the censored regression model
• Maximum Likelihood Estimation of Misspecified Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Robust Statistics
• Tests of specification in econometrics
• Title not available (Why is that?)
• Specification Tests in Econometrics
• Title not available (Why is that?)
• Symmetrically Trimmed Least Squares Estimation for Tobit Models
• A Remark on Hausman's Specification Test
• An Investigation of the Robustness of the Tobit Estimator to Non-Normality
• A Monte Carlo comparison of estimators for censored regression models
• Specification tests for distributional assumptions in the Tobit model

Cited In (7)

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

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