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Tests in Censored Models when the Structural Parameters Are Not Identified

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Author Info
Leandro M. Magnusson () (Department of Economics, Tulane University)

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Abstract

This 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 identi fication condition for the structural parameter is invalid. My approach starts from the estimation of the unrestricted parameters, which does not depend on the identi fication 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 con dence intervals.

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File URL: http://econ.tulane.edu/RePEc/pdf/tul0802.pdf
File Format: application/pdf
File Function: First version, 2008
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Publisher Info
Paper provided by Tulane University, Department of Economics in its series Working Papers with number 0802.

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Length: 29 pages
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:tul:wpaper:0802

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Related research
Keywords: 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: General - - - Hypothesis Testing
C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models

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  1. Blundell, Richard W & Smith, Richard J, 1989. "Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models," Review of Economic Studies, Blackwell Publishing, vol. 56(1), pages 37-57, January. [Downloadable!] (restricted)
  2. Newey, Whitney K., 1987. "Efficient estimation of limited dependent variable models with endogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 36(3), pages 231-250, November. [Downloadable!] (restricted)
  3. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
  4. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, vol. 139(1), pages 181-216, July. [Downloadable!] (restricted)
  5. Blundell, Richard & Walker, Ian, 1986. "A Life-Cycle Consistent Empirical Model of Family Labour Supply Using Cross-Section Data," Review of Economic Studies, Blackwell Publishing, vol. 53(4), pages 539-58, August. [Downloadable!] (restricted)
  6. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
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  7. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-60, November. [Downloadable!] (restricted)
  8. Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, 07. [Downloadable!] (restricted)
    Other versions:
  9. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September. [Downloadable!] (restricted)
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  10. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07. [Downloadable!] (restricted)
  11. Olsen, Randall J, 1978. "Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model," Econometrica, Econometric Society, vol. 46(5), pages 1211-15, September. [Downloadable!] (restricted)
  12. Smith, Richard J & Blundell, Richard W, 1986. "An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply," Econometrica, Econometric Society, vol. 54(3), pages 679-85, May. [Downloadable!] (restricted)
  13. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32. [Downloadable!] (restricted)
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