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BCTOBIT: Stata module to produce a test of the tobit specification


  • David Vncent

    () (Hewlett-Packard UK)


bctobit computes the LM-statistic for testing the tobit specification, against the alternative of a model that is non-linear in the regressors and contains an error term that can be heteroskedastic and non-normally distributed. The test is carried out by taking a Box-Cox transformation of the dependent variable [y^(lambda)-1]/lambda and testing whether the parameter lambda=1. A rejection of the null suggests that the Tobit specification is unsuitable, as an alternative value for lambda would be required to return the linearity, homoskedasticity and normality assumptions that are necessary for consistent estimation. Critical values are obtained via the parametric bootstrap, where the regressors are assumed to be stochastic.

Suggested Citation

  • David Vncent, 2010. "BCTOBIT: Stata module to produce a test of the tobit specification," Statistical Software Components S457163, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:s457163 Note: This module should be installed from within Stata by typing "ssc install bctobit". Windows users should not attempt to download these files with a web browser.

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