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| Author: | Skeels, C. L. Vella, F. |
| Title: | A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models |
| Journal: | Journal of Econometrics
1999 : OCT, VOL. 92:2, p. 275-294 |
| Index terms: | Econometrics Models |
| Language: | eng |
| Abstract: | 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 labour supply. Results of this paper 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 btw. the various forms of the tests the degree of censoring of the latent dependent variable is crucial. |
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