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Goodness of Fit Measures in the Tobit Model

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  • Veall, Michael R
  • Zimmermann, Klaus F

Abstract

It would be useful to have a goodness-of-fit measure that would both facilitate comparisons (1) among Tobit equations and (2) between Tobit equations and OLS equations. This paper suggests a number of possibilities and then provides Monte Carlo results that permit comparisons of the values of different measure. Also it is noted that point (2) suggests that a Pseudo-R[superscript]2 be chosen which is best able to mimic the OLS-R[superscript]2. Under this criterion, a modification of a measure developed by R. McKelvey and W. Zavoina is consistently superior. Copyright 1994 by Blackwell Publishing Ltd

Suggested Citation

  • Veall, Michael R & Zimmermann, Klaus F, 1994. "Goodness of Fit Measures in the Tobit Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 485-499, November.
    • Handle: RePEc:bla:obuest:v:56:y:1994:i:4:p:485-99
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