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An Exogeneity Test for the Simultaneous Equation Tobit Model With an Application to Labour Supply


  • Richard Smith
  • Richard Blundell


A test of weak exogeneity in the simultaneous equation Tobit model is proposed and illustrated using a female labour supply model estimated using cross-section data. The test statistic can be simply output from any standard Tobit maximum likelihood package, and is asymptotically efficient. The procedure provides consistent estimators for the simultaneous Tobit model whose asymptotic covariance matrix is a simple extension of the usual Tobit formula. We also provide the Lagrange Multiplier test of weak exogeneity.

Suggested Citation

  • Richard Smith & Richard Blundell, 1983. "An Exogeneity Test for the Simultaneous Equation Tobit Model With an Application to Labour Supply," Working Paper 546, Economics Department, Queen's University.
  • Handle: RePEc:qed:wpaper:546

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