Testing identifying assumptions in Tobit Models
Tobit 模型识别假设的检验
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…