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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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.
| Author(s): | Holden, D.R.  ORCID: https://orcid.org/0000-0002-4333-6116 | Item type: | Article |
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| 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 |
| Depositing user: | Strathprints Administrator |
| Date deposited: | 23 Aug 2007 |
| Last modified: | 18 Jan 2020 03:33 |
| URI: | https://strathprints.strath.ac.uk/id/eprint/3907 |
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