Distributional specification tests against semiparametric alternatives

DOI10.1016/0304-4076(91)90083-PzbMath0722.62068OpenAlexW1965529353MaRDI QIDQ756347

Simon Peters, Richard J. Smith

Publication date: 1991

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90083-p

zbMATH Keywords

Monte Carlo resultssemiparametric estimationmaximum likelihood estimatorrobust estimationTobit modeldistributional specification testsfirst derivatives of semiparametric criterion functionsHausmann testLagrange multiplier versionslimited dependent variable models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Related Items (3)

On the choice between sample selection and two-part models ⋮ A test of the normality assumption in ordered probit model ⋮ Tests of specification for parametric and semiparametric models

Cites Work

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• A Monte Carlo comparison of estimators for censored regression models
• Least absolute deviations estimation for the censored regression model
• Specification tests for distributional assumptions in the Tobit model
• Symmetrically Trimmed Least Squares Estimation for Tobit Models
• A Remark on Hausman's Specification Test
• Tests of specification in econometrics
• An Investigation of the Robustness of the Tobit Estimator to Non-Normality
• Specification Tests in Econometrics
• Robust Statistics
• Maximum Likelihood Estimation of Misspecified Models

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