BTOBIT: Stata module to produce a test of the tobit specification
Abstractbctobit computes the LM-statistic for testing the tobit specification, against the alternative of a model that is non-linear in the regressors and contains an error term that can be heteroskedastic and non-normally distributed. The test is carried out by taking a Box-Cox transformation of the dependent variable [y^(lambda)-1]/lambda and testing whether the parameter lambda=1. A rejection of the null suggests that the Tobit specification is unsuitable, as an alternative value for lambda would be required to return the linearity, homoskedasticity and normality assumptions that are necessary for consistent estimation. Critical values are obtained via the parametric bootstrap, where the regressors are assumed to be stochastic.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S457163.
Programming language: Stata
Requires: Stata version 10.1
Date of creation: 22 Jul 2010
Date of revision:
Note: This module should be installed from within Stata by typing "ssc install bctobit". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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