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.

ORCID iDs

Holden, D.R. ORCID logoORCID: https://orcid.org/0000-0002-4333-6116;
  • Item type:Article
    ID code:3907
    Dates:
    Date
    Event
    2004
    Published
    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:20 Jan 2021 16:56
    URI:https://strathprints.strath.ac.uk/id/eprint/3907
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