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Re: st: Normally distributed error term & testing normality of residuals


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Normally distributed error term & testing normality of residuals
Date   Sat, 13 Oct 2012 09:22:09 -0400

On Sat, Oct 13, 2012 at 8:06 AM, Ebru Ozturk <ebru_0512@hotmail.com> wrote:
> Thank you Nick.
>
> I asked it for Tobit model.

Then it matters quite a bit, but checking -tobit- postestimation,
there doesn't appear to be residuals. This is usually a sign that it's
hard to define a meaningful one, which makes sense because the Tobit
model is partially observed and partially latent. There's no way the
observed residuals can be normal.

I checked in Chapter 16 of Microeconometrics Using Stata, Revised
Edition (A. C. Cameron & P K. Trivedi, Stata Press, 2010) and they
provide some examples of how to test the normality and
heteroscedasticity assumption. There's a good bit you have to to do
get this to work and their example takes up several pages. Someone
might have an example floating around on the net somewhere, not sure.
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