Testing identifying assumptions in Tobit models
Abstract
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.
Fields of Study & Subjects
Advanced Causal Inference Techniques
Psychometric Methodologies and Testing
Statistical Methods and Bayesian Inference
Publication details
- Journal / source
- Econometric Reviews
- Publisher
- Informa UK Limited
- Volume
- 45
- Issue
- 8
- Pages
- 1115–1142
- Publication date
- 19 May 2026
- Language
- EN