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An Exogeneity Test for the Simultaneous Equation Tobit Model With an Application to Labour Supply

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  • Richard Smith
  • Richard Blundell

Abstract

A test of weak exogeneity in the simultaneous equation Tobit model is proposed and illustrated using a female labour supply model estimated using cross-section data. The test statistic can be simply output from any standard Tobit maximum likelihood package, and is asymptotically efficient. The procedure provides consistent estimators for the simultaneous Tobit model whose asymptotic covariance matrix is a simple extension of the usual Tobit formula. We also provide the Lagrange Multiplier test of weak exogeneity.

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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 546.

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Length: 24
Date of creation: 1983
Date of revision:
Handle: RePEc:qed:wpaper:546

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Cited by:
  1. Adrian Pagan, 1985. "Two Stage and Related Estimators and Their Applications," Cowles Foundation Discussion Papers 741, Cowles Foundation for Research in Economics, Yale University.
  2. Xiaodi Xie, 1997. "Children and female labour supply behaviour," Applied Economics, Taylor and Francis Journals, vol. 29(10), pages 1303-1310.
  3. Aye, Goodness C. & Mungatana, Eric D., 2010. "Technological Innovation and Efficiency in the Nigerian Maize Sector: Parametric Stochastic and Non-parametic Distance Function Approaches," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 95965, African Association of Agricultural Economists (AAAE) & Agricultural Economics Association of South Africa (AEASA).
  4. repec:iza:izadps:dp is not listed on IDEAS
  5. Niimi, Yoko & Pham, Thai Hung & Reilly, Barry, 2008. "Determinants of remittances : recent evidence using data on internal migrants in Vietnam," Policy Research Working Paper Series 4586, The World Bank.
  6. de la Briere, Benedicte & de Janvry, Alain & Lambert, Sylvie & Sadoulet, Elisabeth, 1997. "Why do migrants remit?," FCND discussion papers 37, International Food Policy Research Institute (IFPRI).

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