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

David Vncent ()
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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". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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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)

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