Bootstrapping a conditional moments test for normality after tobit estimation

@inproceedings{Drukker2002BootstrappingAC,
  title={Bootstrapping a conditional moments test for normality after tobit estimation},
  author={David M. Drukker},
  year={2002}
}
Categorical and limited dependent variable models are routinely estimated via maximum likelihood. It is well-known that the ML estimates of the parameters are inconsistent if the distribution or the skedastic component is misspecified. When conditional moment tests were first developed by Newey (1985) and Tauchen (1985),they appeared to offer a wide range of easy-to-compute specification tests for categorical and limited dependent variable models estimated by maximum likelihood. However… CONTINUE READING

Citations

Publications citing this paper.
SHOWING 1-10 OF 30 CITATIONS