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Testing the normality assumption in the Tobit model

Holden, D.R. (2004) Testing the normality assumption in the Tobit model. Journal of Applied Statistics, 31 (5). pp. 521-532. ISSN 0266-4763

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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.

Item type: Article
ID code: 3907
Keywords: tobit models, normality, statistics, econometrics, business mathematics, Economic Theory, Statistics, Statistics and Probability, Statistics, Probability and Uncertainty
Subjects: Social Sciences > Economic Theory
Social Sciences > Statistics
Department: Strathclyde Business School > Economics
Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 23 Aug 2007
    Last modified: 04 Sep 2014 12:15
    URI: http://strathprints.strath.ac.uk/id/eprint/3907

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