Testing the Normality Assumption in the Tobit Model |
| |
Authors: | Darryl Holden |
| |
Affiliation: | a Department of Economics, University of Strathclyde, Glasgow, UK. |
| |
Abstract: | This paper examines a number of statistics that have been proposed to test the normality assumption in the tobit (censored regression) model. It argues that a number of commonly proposed statistics can be interpreted as different versions of the Lagrange multiplier, or score, test for a common null hypothesis. This observation is useful in examining the Monte Carlo results presented in the paper. The Monte Carlo results suggest that the computational convenience of a number of statistics is obtained at the cost of poor finite sample performance under the null hypothesis. |
| |
Keywords: | Tobit (Censored Regression) And Probit Models Normality Language Multiplier (score) Tests Hours Of Work Equations |
本文献已被 InformaWorld 等数据库收录! |