Advanced Search
MyIDEAS: Login

Bootstrap LM Test for the Box CoxTobit Model

Contents:

Author Info

  • David Vincent

    ()
    (Hewlett Packard (UK))

Registered author(s):

    Abstract

    Consistency of the maximum likelihood estimators for the parameters in the standard Tobit model rely heavily on the assumption of a normally distributed error term. The Box Cox transformation presents an obvious attempt to preserve normality when the data make this questionable. This paper sets out an OPG version of an LM test for the null hypotheses of the standard Tobit model, against the alternative of a more general non-linear specification, as determined by the parameter of the Box Cox transformation. Monte Carlo estimates of the rejection probabilities using first order asymptotic and parametric bootstrap critical values are obtained, for sample sizes that are comparable to those used in practice. The results show that the LM-test using bootstrap critical values has practically no size distortion, whereas using asymptotic critical values, the empirical rejection probabilities are significantly larger than the nominal levels. A simple program which carries out this test using bootstrap critical values has also been written and can be run post the official Stata Tobit estimation command.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://repec.org/bost10/Bootstrap_LM_Tests_BCT_Final.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Stata Users Group in its series BOS10 Stata Conference with number 9.

    as in new window
    Length:
    Date of creation: 20 Jul 2010
    Date of revision:
    Handle: RePEc:boc:bost10:9

    Contact details of provider:
    Web page: http://stata.com/meeting/boston10/
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Achilleas Anagnostopoulos & Stanley Siebert, 2012. "The impact of Greek labour market regulation on temporary and family employment - Evidence from a new survey," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 62, Hellenic Observatory, LSE.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:boc:bost10:9. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.