Econometrica: Sep 1981, Volume 49, Issue 5
A Test for Misspecification in the Censored Normal Model
Forrest D. NelsonEstimates of parameters in Tobit and other models for limited, truncated and censored dependent variables are not robust against misspecification. A test of the standard assumptions against a general misspecified alternative in the univariate censored normal model is derived and extended to the Tobit regression case. Computational ease and freedom from specification of a specific alternative hypothesis are primary attractions of the test.
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