?===================================================================

? Normality test for the tobit model using the method of Pagan     =

? and Vella; conditional moment test.                              =

?                                                                  =

? User must define the data matrix with the following line:        =

?                                                                  =

?        NAMELIST         ; X = ... $                              =

?                                                                  =

? User's dependent variable is Y.  Change the following line       =

?                                                                  =

?        CREATE           ; Y = the dependent variable $           =

?                                                                  =

? Two lines marked by a row of *'s below must be changed.          =

?===================================================================

?

? Estimate the model assuming normality

?

     TOBIT   ; Lhs = Y ; Rhs = X $

?

? Compute derivatives and terms in conditional moments.  Note that

? derivatives with respect to X are each X times the same scalar.

?

     CREATE  ; q1   = y > 0  

             ; q0   = 1 - q1

             ; bxs  = dot(X,b)/s 

             ; e    = y - s*bxs

             ; lam  = n01(bxs) / (1 - phi(bxs))

             ; dfdb = (q1 * e/s - q0 * lam) / s

             ; dfds = (q1 * ((e/s)^2 - 1) + q0 * lam * bxs)/s

             ; u3   =  q1 * 0  -  q0 * s^3 * lam * (2 + bxs ^ 2)

             ; u4   =  q1 * 3 * s^4

                     + q0 * s^4*(3 + 3*lam*bxs + lam * bxs^3) $

?

? Now apply the procedure detailed in Section 19.7

?

     CREATE  ; m1 = u3

             ; m2 = u4 - 3*s^4

             ; d1 = dfdb * x1

             ; d2 = dfdb * x2

             ; ... for each X in the Tobit equation  *********************

             ; ds = dfds $

     NAMELIST       ; M = m1,m2

                    ; D = d1,d2,...,ds $             *********************

     CALCULATE      ; lmstat=0 $

     MATRIX         ; MI = Xdot(M,one)

                    ; V  =  RCPM (D,M)

                    ; LMSTAT = MI' | SINV(V) | MI $

     CALCULATE      ; LMSTAT ; Q = Col(M) ; Chi (LMSTAT,Q) $