TY - JOUR
T1 - A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models
AU - Skeels, Christopher L.
AU - Vella, Francis
PY - 1999/10
Y1 - 1999/10
N2 - This paper provides a Monte Carlo examination of conditional moment tests for several forms of mis specification in Tobit and Probit models. The experimental design is based on actual data taken from a study of labor supply. Our results indicate that the tests work well, in terms of size and power, for the Tobit model whereas they perform poorly for the Probit model. The major conclusion is that although there is little to choose between the various forms of the tests the degree of censoring of the latent dependent variable is crucial.
AB - This paper provides a Monte Carlo examination of conditional moment tests for several forms of mis specification in Tobit and Probit models. The experimental design is based on actual data taken from a study of labor supply. Our results indicate that the tests work well, in terms of size and power, for the Tobit model whereas they perform poorly for the Probit model. The major conclusion is that although there is little to choose between the various forms of the tests the degree of censoring of the latent dependent variable is crucial.
KW - Conditional moment tests
KW - Generalized residuals
KW - Probit
KW - Tobit
UR - http://www.scopus.com/inward/record.url?scp=0041988079&partnerID=8YFLogxK
U2 - 10.1016/S0304-4076(98)00092-X
DO - 10.1016/S0304-4076(98)00092-X
M3 - Article
SN - 0304-4076
VL - 92
SP - 275
EP - 294
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -