Econometrica: Sep 1981, Volume 49, Issue 5

A Test for Misspecification in the Censored Normal Model

https://doi.org/0012-9682(198109)49:5<1317:ATFMIT>2.0.CO;2-Y
p. 1317-1329

Forrest D. Nelson

Estimates 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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