A simple consistent test of conditional symmetry in symmetrically trimmed tobit models
We propose a "weighted and sample-size adjusted" Kolmogorov-Smirnov type statistic to test the assumption of conditional symmetry maintained in the symmetrically trimmed least-squares (STLS) approach of Powell (1986b), which is widely used to estimate censored or truncated regression models without making distributional assumptions. The statistic proposed here is consistent and computationally easy to implement because, unlike traditional Kolmogorov-Smirnov statistics, it is not optimized over an uncountable set. Moreover, it does not require any nonparametric smoothing, although we test the validity of a conditional feature. We also propose a bootstrap procedure to obtain the p-values and critical values that are required to carry out the test in practical applications. Results from a simulation study suggest that our test can work very well even in small to moderately sized samples. As an empirical illustration, we apply our test to two datasets that have been used in the literature to estimate censored regression models using Powell's STLS approach, to check whether the assumption of conditional symmetry is supported by these datasets.
|Date of creation:||2014|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+352) 46 66 44
Fax: (+352) 46 66 44 ext 633
Web page: http://wwwen.uni.lu/research/fdef/crea
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lee, Myoung-Jae, 1995. "Semi-parametric Estimation of Simultaneous Equations with Limited Dependent Variables: A Case Study of Female Labour Supply," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 187-200, April-Jun.
- Jolliffe, Dean, 2002.
"The Gender Wage Gap in Bulgaria: A Semiparametric Estimation of Discrimination,"
Journal of Comparative Economics,
Elsevier, vol. 30(2), pages 276-295, June.
- Dean Jolliffe, 2001. "The Gender Wage Gap in Bulgaria: A Semiparametric Estimation of Discrimination," William Davidson Institute Working Papers Series 401, William Davidson Institute at the University of Michigan.
- Zheng, John Xu, 1998. "Consistent Specification Testing For Conditional Symmetry," Econometric Theory, Cambridge University Press, vol. 14(01), pages 139-149, February.
- Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
- Wojciech Kopczuk, 2006.
"Bequest and Tax Planning: Evidence From Estate Tax Returns,"
NBER Working Papers
12701, National Bureau of Economic Research, Inc.
- Wojciech Kopczuk, 2007. "Bequest and Tax Planning: Evidence from Estate Tax Returns," The Quarterly Journal of Economics, MIT Press, vol. 122(4), pages 1801-1854, November.
- Tao Chen & Gautam Tripathi, 2011. "Testing Conditional Symmetry Without Smoothing," Working papers 2011-01, University of Connecticut, Department of Economics.
- Santos Silva, J M C, 2001. "Influence Diagnostics and Estimation Algorithms for Powell's SCLS," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 55-62, January.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Kenneth Y. Chay & James L. Powell, 2001. "Semiparametric Censored Regression Models," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 29-42, Fall.
- Hanan G. Jacoby & Rinku Murgai & Saeed Rehman, 2004.
"Monopoly Power and Distribution in Fragmented Markets: The Case of Groundwater,"
Review of Economic Studies,
Wiley Blackwell, vol. 71, pages 783-808, 07.
- Hanan G. Jacoby & Rinku Murgai & Saeed Ur Rehman, 2004. "Monopoly Power and Distribution in Fragmented Markets: The Case of Groundwater," Review of Economic Studies, Oxford University Press, vol. 71(3), pages 783-808.
- Jacoby, Hanan G. & Murgai, Rinku & Rehman, Saeed Ur, 2001. "Monopoly power and distribution in fragmented markets : the case of groundwater," Policy Research Working Paper Series 2628, The World Bank.
- Honore, Bo E. & Kyriazidou, Ekaterini & Udry, Christopher, 1997.
"Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons,"
Journal of Econometrics,
Elsevier, vol. 76(1-2), pages 107-128.
- Bo E. Honore & Ekaterini Kyriazidou & Christopher Udry, . "Estimation of Type 3 Tobit Models using Symmetric Trimming and Pairwise Comparisons," Home Pages _001, Princeton University, Department of Economics.
- Qiwei Yao & Rob J. Hyndman, 2002.
"Nonparametric estimation and symmetry tests for conditional density functions,"
LSE Research Online Documents on Economics
6092, London School of Economics and Political Science, LSE Library.
- Hyndman, R.J. & Yao, Q., 1998. "Nonparametric Estimation and Symmetry Tests for Conditional Density Functions," Monash Econometrics and Business Statistics Working Papers 17/98, Monash University, Department of Econometrics and Business Statistics.
- Newey, Whitney K., 1987. "Specification tests for distributional assumptions in the Tobit model," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 125-145.
- Delgado, Miguel A. & Carlos Escanciano, J., 2007. "Nonparametric tests for conditional symmetry in dynamic models," Journal of Econometrics, Elsevier, vol. 141(2), pages 652-682, December.
When requesting a correction, please mention this item's handle: RePEc:luc:wpaper:14-04. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elisa Ferreira)
If references are entirely missing, you can add them using this form.