IDEAS home Printed from https://ideas.repec.org/p/boc/bost10/9.html
   My bibliography  Save this paper

Bootstrap LM Test for the Box CoxTobit Model

Author

Listed:
  • David Vincent

    (Hewlett Packard (UK))

Abstract

Consistency of the maximum likelihood estimators for the parameters in the standard Tobit model rely heavily on the assumption of a normally distributed error term. The Box Cox transformation presents an obvious attempt to preserve normality when the data make this questionable. This paper sets out an OPG version of an LM test for the null hypotheses of the standard Tobit model, against the alternative of a more general non-linear specification, as determined by the parameter of the Box Cox transformation. Monte Carlo estimates of the rejection probabilities using first order asymptotic and parametric bootstrap critical values are obtained, for sample sizes that are comparable to those used in practice. The results show that the LM-test using bootstrap critical values has practically no size distortion, whereas using asymptotic critical values, the empirical rejection probabilities are significantly larger than the nominal levels. A simple program which carries out this test using bootstrap critical values has also been written and can be run post the official Stata Tobit estimation command.

Suggested Citation

  • David Vincent, 2010. "Bootstrap LM Test for the Box CoxTobit Model," BOS10 Stata Conference 9, Stata Users Group.
    • Handle: RePEc:boc:bost10:9
    as

    Download full text from publisher

    File URL: http://repec.org/bost10/Bootstrap_LM_Tests_BCT_Final.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Anagnostopoulos, Achilleas & Siebert, Stanley, 2012. "The impact of Greek labour market regulation on temporary and family employment - evidence from a new survey," LSE Research Online Documents on Economics 46661, London School of Economics and Political Science, LSE Library.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bost10:9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/stataea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.