A Test on the Normality in the Tobit Model by Jinook Jeong 1 School of Economics Yonsei University and Daeyoung Jeong School of Economics Yonsei University January 2010 Abstract We propose an alternative Hausman test for normality in the Tobit model. Unlike the previous tests by Ruud (1984) or Newey (1987), our test compares the Tobit estimator to an estimator which is consistent both under the null hypothesis and under the alternative hypothesis. To do so, it utilizes a purely nonparametric estimator for the Tobit model proposed by Newey (1999b) and Jeong (2004). We present a Monte Carlo simulation to compare the finite sample properties of our test to the previous tests. Keywords: tobit model, normality test, bootstrap JEL classifications: C12, C15 Acknowledgement: We are grateful for the helpful comments on the earlier draft from Graduate Seminars on Contemporary Economics at Yonsei University. The authors are members of ‘Brain Korea 21’ Research Group of Yonsei University. 1 Corresponding Author, 1) address: School of Economics, Yonsei University, Seoul, Korea 120-749, 2) phone: +82-2-2123-2493, 3) email: jinook@yonsei.ac.kr