A Test on the Normality in the Tobit Model
نویسندگان
چکیده
We propose an alternative Hausman test for normality in the Tobit model. Unlike the previous tests by Ruud (1984) or Newey (1987), our test compares the Tobit estimator to an estimator which is consistent both under the null hypothesis and under the alternative hypothesis. To do so, it utilizes a purely nonparametric estimator for the Tobit model proposed by Newey (1999b) and Jeong (2004). We present a Monte Carlo simulation to compare the finite sample properties of our test to the previous tests.
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