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Testing the Normality Assumption in the Tobit Model

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  • Darryl Holden
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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.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/02664760410001681783
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.

    Volume (Year): 31 (2004)
    Issue (Month): 5 ()
    Pages: 521-532

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    Handle: RePEc:taf:japsta:v:31:y:2004:i:5:p:521-532

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    Related research

    Keywords: Tobit (Censored Regression) And Probit Models; Normality; Language Multiplier (score) Tests; Hours Of Work Equations;

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    Cited by:
    1. Speelman, Stijn & D'Haese, Marijke F.C. & Buysse, Jeroen & D'Haese, Luc, 2007. "Technical efficiency of water use and its determinants, study at efficiencies in small-scale irrigation schemes in North-West Province, South Africa," 106th Seminar, October 25-27, 2007, Montpellier, France 7904, European Association of Agricultural Economists.
    2. Frija, Aymen & Speelman, Stijn & Chebil, Ali & Buysse, Jeroen & Van Huylenbroeck, Guido, 2008. "Performances And Efficiencies Of The Irrigation Water Users’ Associations In Tunisia," 107th Seminar, January 30-February 1, 2008, Sevilla, Spain 6460, European Association of Agricultural Economists.
    3. Speelman, Stijn & D'Haese, Marijke & Buysse, Jeroen & D'Haese, Luc, 2008. "A measure for the efficiency of water use and its determinants, a case study of small-scale irrigation schemes in North-West Province, South Africa," Agricultural Systems, Elsevier, vol. 98(1), pages 31-39, July.

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