Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models
通过蒙特卡洛模拟，考察了在Tobit和Probit模型误设（如遗漏变量、异方差、错误分布假设）下，各种条件矩检验的尺寸稳健性，发现检验表现因原假设和误设类型而异。
This paper numerically examines the size robustness of various conditional moment tests in misspecified tobit and probit models. The misspecifications considered include the incorrect exclusion of regressors, ignored heteroskedasticity and false distributional assumptions. An important feature of the experimental design is that it is based on an existing empirical study and is more realistic than many simulation studies. The tests are seen to have mixed performance depending on both the original null hypothesis being tested and type of misspecification encountered.