Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models

DOI10.1080/07474939708800373zbMath0891.62089OpenAlexW2035709422MaRDI QIDQ4355145

Francis Vella, Christopher L. Skeels

Publication date: 25 June 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800373

zbMATH Keywords

non-normalityprobit modelsheteroskedasticityomitted variablestobit modelsmisspecificationsconditional moment testssize robustness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

Related Items (2)

The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power ⋮ A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models

Cites Work

• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Diagnostic testing and evaluation of maximum likelihood models
• Asymptotic Expansions of the Information Matrix Test Statistic
• The Sensitivity of Some General Checks to Omitted Variables in the Linear Model
• Maximum Likelihood Estimation of Misspecified Models

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