Command for Likelihood Ratio Test between Tobit Model vs Probit + Truncated models

[Teresa Mungazi]

Hi,

I'd like to compare model fit between Tobit Model vs Probit + Truncated models inorder to decide if I should go with tobit or probit+truncated and would like to know what the command is. Also the command for Wald Test, BIC and AIC.

Thank you

[Joseph Coveney]

I'd like to compare model fit between Tobit Model vs Probit + Truncated models inorder to decide if I should go with tobit or probit+truncated and would like to know what the command is.

There is example code here that shows how to compare the two models via a likelihood-ratio test. (Scroll down to whare the comment begins, "Cragg has suggested . . ." The reference tobit model is fitted earlier in the code on that same Web page.)

The example dataset that he uses for that illustration is contained in a zip file that can be downloaded from here. Scroll down to the sentence, "Obtain data for the project assignments by clicking here."

Also the command for Wald Test, BIC and AIC.

I'm not sure that a Wald test is doable, but you should be able to compute the information criteria manually from the intermediate results generated to compute the likelihood-ratio test statistic.

[Teresa Mungazi]

Thank you Joseph!