To make high-quality research more accessible and easier to explore.

Fields:
1 result

A Test of the Tobit Specification Against an Alternative Suggested by Cragg

The Review of Economics and Statistics 1984 66(1), 174
In this paper we present a specification test for the Tobit model. Specifically, we test the Tobit model against the alternative of a two-part model in which one set of parameters determines the probability of a limit observation while a second set of parameters determines the distribution of the non-limit observations. An advantage of our test is that it is easily calculated from the Tobit residuals.