A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models
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- Skeels, C.L. & Vella, F., 1993. "The Performance of Conditional Moment Tests in Tobit and Probit Models," Papers 251, Australian National University - Department of Economics.
- Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67.
- Davidson , R. & Mackinnon, J.G., 1985.
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1985025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Russell Davidson & James G. MacKinnon, 1984. "Implicit Alternatives and the Local Power of Test Statistics," Working Papers 556, Queen's University, Department of Economics.
- Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
- Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September.
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- Chesher, Andrew & Irish, Margaret, 1987. "Residual analysis in the grouped and censored normal linear model," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 33-61.
- Russell Davidson & James G. MacKinnon, 1982.
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514, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, vol. 25(3), pages 241-262, July.
- Bierens, Herman J, 1990.
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- Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
- Christopher Skeels & Franics Vella, 1997. "Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 69-92.
- Nelson, Forrest D, 1981. "A Test for Misspecification in the Censored Normal Model," Econometrica, Econometric Society, vol. 49(5), pages 1317-29, September.
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- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, December.
- Orme, Chris, 1995. "On the Use of Artificial Regressions in Certain Microeconometric Models," Econometric Theory, Cambridge University Press, vol. 11(02), pages 290-305, February.
- Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
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