Stata - Tobit - Lagrange Multiplier Test

Question

Community,

I am running a left- and right-censored tobit regression model. The dependent variable is the proportion of cash used in M&A transactions running from 0 to 1.

I assume heteroskedasticity to be prevalent due to the characteristics of my cross-sectional sample as well as the BPCW test for the LS regression model. In order to test the tobit specifications, I used bctobit. However, bctobit is not applicable for right-censored data.

This gives rise to the following question: - Is there another user-written command to test for the tobit specifications with right- and left-censored data?

Thanks a lot for your efforts!

Answer 1

The most immediate question to me here is statistical. From what you say this approach is inadvisable, so how to implement it is immaterial.

I don't think Tobit makes much sense for variables that are defined to lie in an interval. Censoring to me implies that some high or low values might have been observed in principle, but in practice are recorded as less extreme values. It seems to me that logit or probit are the appropriate link functions for proportional responses, and in that Stata that means glm with e.g. logit link.

Regardless of that, do you regard linear dependence as expected here?

For an excellent concise review making this point, see http://www.stata-journal.com/sjpdf.html?articlenum=st0147