An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply

TLDR

The paper proposes a weak‑exogeneity test for simultaneous equation Tobit models, illustrated with a female labour‑supply cross‑section study. The authors develop a Lagrange Multiplier weak‑exogeneity test and apply it to a female labour‑supply Tobit model estimated from cross‑section data. The test statistic is available from standard Tobit MLE software, is asymptotically efficient, and yields consistent estimators with a covariance matrix that extends the usual Tobit formula. Abstract sourced from a prior version.

Abstract

A test of weak exogeneity in the simultaneous equation Tobit model is proposed and illustrated using a female labour supply model estimated using cross-section data. The test statistic can be simply output from any standard Tobit maximum likelihood package, and is asymptotically efficient. The procedure provides consistent estimators for the simultaneous Tobit model whose asymptotic covariance matrix is a simple extension of the usual Tobit formula. We also provide the Lagrange Multiplier test of weak exogeneity. (This abstract was borrowed from another version of this item.)