BTOBIT: Stata module to produce a test of the tobit specification

David Vncent ()
Additional contact information
David Vncent: Hewlett-Packard UK

Statistical Software Components from Boston College Department of Economics

Abstract: bctobit computes the LM-statistic for testing the tobit specification, against the alternative of a model that is non-linear in the regressors and contains an error term that can be heteroskedastic and non-normally distributed. The test is carried out by taking a Box-Cox transformation of the dependent variable [y^(lambda)-1]/lambda and testing whether the parameter lambda=1. A rejection of the null suggests that the Tobit specification is unsuitable, as an alternative value for lambda would be required to return the linearity, homoskedasticity and normality assumptions that are necessary for consistent estimation. Critical values are obtained via the parametric bootstrap, where the regressors are assumed to be stochastic.

Language: Stata
Requires: Stata version 10.1
Keywords: tobit; LM test; linearity; heteroskedasticity; normality; bootstrap (search for similar items in EconPapers)
Date: 2010-07-22
Note: This module should be installed from within Stata by typing "ssc install bctobit". Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/b/bctobit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bctobit.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/smoking.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/smoking.dta sample data file (application/x-stata)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s457163

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().