Holden, D.R. (2004) Testing the normality assumption in the Tobit model. Journal of Applied Statistics, 31 (5). pp. 521-532. ISSN 0266-4763
Full text not available in this repository. (Request a copy from the Strathclyde author)Official URL: http://dx.doi.org/10.1080/02664760410001681783
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 |
| 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 Oct 2012 11:49 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/3907 |
Actions (login required)
| View Item |