Testing identifying assumptions in Tobit Models
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866915673477742592 |
|---|---|
| author | Acerenza, Santiago Bartalotti, Otávio Veneri, Federico |
| author_facet | Acerenza, Santiago Bartalotti, Otávio Veneri, Federico |
| contents | We develop sharp, testable implications for the identifying assumptions of Tobit and IV-Tobit models: linear index, (joint) normality of errors, treatment (instrument) exogeneity, and relevance. The new sharp testable equalities can detect all possible observable violations of the identifying conditions. The proposed test procedure for the model's validity uses existing inference methods for intersection bounds. Simulations suggest adequate test size and power in detecting exogeneity and error structure violations. We review and propose alternatives to partially identify the parameters of interest under less restrictive assumptions. We revisit a study of married women's labor supply in Lee (1995) to demonstrate the test's practical implementation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_02573 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Testing identifying assumptions in Tobit Models Acerenza, Santiago Bartalotti, Otávio Veneri, Federico Econometrics We develop sharp, testable implications for the identifying assumptions of Tobit and IV-Tobit models: linear index, (joint) normality of errors, treatment (instrument) exogeneity, and relevance. The new sharp testable equalities can detect all possible observable violations of the identifying conditions. The proposed test procedure for the model's validity uses existing inference methods for intersection bounds. Simulations suggest adequate test size and power in detecting exogeneity and error structure violations. We review and propose alternatives to partially identify the parameters of interest under less restrictive assumptions. We revisit a study of married women's labor supply in Lee (1995) to demonstrate the test's practical implementation. |
| title | Testing identifying assumptions in Tobit Models |
| topic | Econometrics |
| url | https://arxiv.org/abs/2408.02573 |