(I NEED HELP) How to manually compute generalized residuals and score for a right-censored Tobit model?

[Romar Guerra]

Hello, Statalist fellows!

I'm finishing my bachelor's thesis, in which I'm running a right-censored Tobit model for a (0, 1] dependant variable.

After the regression, I need to compute the generalized residuals to check for normality and homoskedasticity. Sadly, the only formal reference that I got is from Cameron and Trivedi (2010) "Microeconometrics using Stata" and it is for a log transformed dependant variable and a left-censored estimation. I have severe doubts about computing the inverse Mills ratio, especially when I generate the threshold.

Please, help me.

Thanks in advance.

Regards,
Romar.

[Romar Guerra]

***UPDATE***

As my dependent variable is right-censored at 1, I generated the residuals

predict pvdepvar, ystar(.,1). (predicted values of dependant variable, right-censored at 1).
generate residuals= depvar-pvdepvar

My residuals had good kurtosis and are left skewed, but they passed (barely) the sktest


. summarize residuals

Variable | Obs Mean Std. Dev. Min Max
-------------+----------------------------------------------------------------
residuals | 95 -.0018706 .1035449 -.2949046 .190228

. sktest residuals

Skewness/Kurtosis tests for Normality
------ joint ------
Variable | Obs Pr(Skewness) Pr(Kurtosis) adj chi2(2) Prob>chi2
------------- +-------------------------------------------------------------------------------
residuals | 95 0.0152 0.5798 5.91 0.0521

I hope this helps others!

[Chalermchon Wongsopa]

Hello Romar,
Could you please explain more about how to test homoskedasticity after Tobit model using the residual you generated.

Thank you in advance.