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Testing identifying assumptions in Tobit Models

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  • Santiago Acerenza
  • Ot'avio Bartalotti
  • Federico Veneri

Abstract

This paper develops sharp testable implications for Tobit and IV-Tobit models' identifying assumptions: linear index specification, (joint) normality of latent errors, and treatment (instrument) exogeneity and relevance. The new sharp testable equalities can detect all possible observable violations of the identifying conditions. We propose a testing procedure for the model's validity using existing inference methods for intersection bounds. Simulation results suggests proper size for large samples and that the test is powerful to detect large violation of the exogeneity assumption and violations in the error structure. Finally, we review and propose new alternative paths to partially identify the parameters of interest under less restrictive assumptions.

Suggested Citation

  • Santiago Acerenza & Ot'avio Bartalotti & Federico Veneri, 2024. "Testing identifying assumptions in Tobit Models," Papers 2408.02573, arXiv.org, revised Jan 2025.
  • Handle: RePEc:arx:papers:2408.02573
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    References listed on IDEAS

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    1. Yoichi Arai & Yu‐Chin Hsu & Toru Kitagawa & Ismael Mourifié & Yuanyuan Wan, 2022. "Testing identifying assumptions in fuzzy regression discontinuity designs," Quantitative Economics, Econometric Society, vol. 13(1), pages 1-28, January.
    2. Smith, Richard J & Blundell, Richard W, 1986. "An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply," Econometrica, Econometric Society, vol. 54(3), pages 679-685, May.
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