Tests in Censored Models when the Structural Parameters Are Not Identified
AbstractThis paper presents tests for the structural parameters of a censored regression model with endogenous explanatory variables. These tests have the correct size even when the identification condition for the structural parameter is invalid. My approach starts from the estimation of the unrestricted parameters, which does not depend on the identification of the structural parameter. Next, I set up the optimal minimum distance objective function, from where I derive the tests. The proposed robust tests are implemented in many statistical software packages since they demand only the Tobit and the ordinary least squares estimation functions. By simulating their power curves, I compare the robust to the Wald and the likelihood ratio tests. A case of the labor supply of married women illustrates the use of the robust tests for the construction of confidence intervals.
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Bibliographic InfoPaper provided by Tulane University, Department of Economics in its series Working Papers with number 0802.
Length: 29 pages
Date of creation: Dec 2008
Date of revision:
endogenous Tobit; weak instruments; minimum distance estimation; female labor supply;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
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