An Exogeneity Test for the Simultaneous Equation Tobit Model With an Application to Labour Supply

Richard Smith () and Richard Blundell ()

Working Paper from Economics Department, Queen's University

Abstract: A test of weak exogeneity in the simultaneous equation Tobit model is proposed and illustrated using a female labour supply model estimated using cross-section data. The test statistic can be simply output from any standard Tobit maximum likelihood package, and is asymptotically efficient. The procedure provides consistent estimators for the simultaneous Tobit model whose asymptotic covariance matrix is a simple extension of the usual Tobit formula. We also provide the Lagrange Multiplier test of weak exogeneity.

Pages: 24
Date: 1983
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Journal Article: An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply (1986)
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