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Testing the Normality Assumption in the Tobit Model

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  • Darryl Holden

Abstract

This paper examines a number of statistics that have been proposed to test the normality assumption in the tobit (censored regression) model. It argues that a number of commonly proposed statistics can be interpreted as different versions of the Lagrange multiplier, or score, test for a common null hypothesis. This observation is useful in examining the Monte Carlo results presented in the paper. The Monte Carlo results suggest that the computational convenience of a number of statistics is obtained at the cost of poor finite sample performance under the null hypothesis.

Suggested Citation

  • Darryl Holden, 2004. "Testing the Normality Assumption in the Tobit Model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(5), pages 521-532.
  • Handle: RePEc:taf:japsta:v:31:y:2004:i:5:p:521-532 DOI: 10.1080/02664760410001681783
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    References listed on IDEAS

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    1. G. Robin Henderson, 2001. "EWMA and industrial applications to feedback adjustment and control," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(3-4), pages 399-407.
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    Cited by:

    1. Darryl Holden & Roger Perman, 2014. "The convenient calculation of some test statistics in models of discrete choice," Working Papers 1410, University of Strathclyde Business School, Department of Economics.
    2. Speelman, Stijn & D'Haese, Marijke F.C. & Buysse, Jeroen & D'Haese, Luc, 2007. "Technical efficiency of water use and its determinants, study at efficiencies in small-scale irrigation schemes in North-West Province, South Africa," 106th Seminar, October 25-27, 2007, Montpellier, France 7904, European Association of Agricultural Economists.
    3. Vijesh Krishna & Prakashan Veettil, 2015. "Productivity and Efficiency Impacts of Zero Tillage Wheat in Northwest Indo-Gangetic Plains," Working Papers id:7716, eSocialSciences.
    4. Frija, Aymen & Speelman, Stijn & Chebil, Ali & Buysse, Jeroen & Van Huylenbroeck, Guido, 2008. "Performances And Efficiencies Of The Irrigation Water Users’ Associations In Tunisia," 107th Seminar, January 30-February 1, 2008, Sevilla, Spain 6460, European Association of Agricultural Economists.
    5. Speelman, Stijn & D'Haese, Marijke & Buysse, Jeroen & D'Haese, Luc, 2008. "A measure for the efficiency of water use and its determinants, a case study of small-scale irrigation schemes in North-West Province, South Africa," Agricultural Systems, Elsevier, pages 31-39.
    6. Holden, Darryl & Perman, Roger, 2014. "The convenient calculation of some test statistics in models of discrete choice," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-07, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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