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Specification Testing in Censored Regression Models: Parametric and Semiparametric Methods

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  • Horowitz, Joel L
  • Neumann, George R

Abstract

We define a hierarchy of parametric and semiparametric specifications for censored regression models that is ordered according to the strength of the assumptions that are made. We review the estimation techniques and specification tests that are available at each level of the hierarchy. The estimation and testing procedures are illustrated by applying them to a model of strike duration. Several tests (some graphical) are able to detect errors in standard parametric specifications even in the presence of fairly heavy censoring, but two distinct semiparametric specifications leading to different substantive inferences cannot be rejected. In addition, the conditional mean as a prediction of the dependent variable is highly sensitive to specification errors, whereas the conditional median is not. Copyright 1989 by John Wiley & Sons, Ltd.

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  • Horowitz, Joel L & Neumann, George R, 1989. "Specification Testing in Censored Regression Models: Parametric and Semiparametric Methods," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 61-86, Supplemen.
    • Handle: RePEc:jae:japmet:v:4:y:1989:i:s:p:s61-86
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    Cited by:

    1. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    2. Heinz König & Michael Lechner, 1994. "Some Recent Developments in Microeconometrics - A Survey," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 299-331, September.
    3. Simon Peters, 2000. "On the use of the RESET test in microeconometric models," Applied Economics Letters, Taylor & Francis Journals, vol. 7(6), pages 361-365.
    4. George Neumann, 1996. "Search Models and Duration Data," Econometrics 9602008, University Library of Munich, Germany, revised 07 Mar 1996.
    5. Follain, James R. & Ondrich, Jan & Sinha, Gyan P., 1997. "Ruthless Prepayment? Evidence from Multifamily Mortgages," Journal of Urban Economics, Elsevier, vol. 41(1), pages 78-101, January.
    6. James E. Prieger, "undated". "Conditional Moment Tests for Parametric Duration Models," Department of Economics 00-10, California Davis - Department of Economics.
    7. Mark Ottoni Wilhelm, 2008. "Practical Considerations for Choosing Between Tobit and SCLS or CLAD Estimators for Censored Regression Models with an Application to Charitable Giving," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(4), pages 559-582, August.
    8. Song, Weixing & Zhang, Yi, 2012. "Empirical L2-distance lack-of-fit tests for Tobit regression models," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 380-396.
    9. Wang, Lan, 2007. "A simple nonparametric test for diagnosing nonlinearity in Tobit median regression model," Statistics & Probability Letters, Elsevier, vol. 77(10), pages 1034-1042, June.
    10. Koul, Hira L. & Song, Weixing & Liu, Shan, 2014. "Model checking in Tobit regression via nonparametric smoothing," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 36-49.
    11. Paul V. Grootendorst, 1997. "Health care policy evaluation using longitudinal insurance claims data: An application of the Panel Tobit estimator," Health Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 365-382, July.

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