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

Christopher Skeels and Francis Vella

Econometric Reviews, 1997, vol. 16, issue 1, 69-92

Abstract: This paper numerically examines the size robustness of various conditional moment tests in misspecified tobit and probit models. The misspecifications considered include the incorrect exclusion of regressors, ignored heteroskedasticity and false distributional assumptions. An important feature of the experimental design is that it is based on an existing empirical study and is more realistic than many simulation studies. The tests are seen to have mixed performance depending on both the original null hypothesis being tested and type of misspecification encountered.

Keywords: and Phrases; probit models; tobit models; conditional moment tests; omitted variables; heteroskedasticity; non-normality (search for similar items in EconPapers)
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939708800373 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:emetrv:v:16:y:1997:i:1:p:69-92

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939708800373

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().