A note on the Tobit model in the presence of a duration variable

Hafner, Christian;Preminger, Arie
(2014) , 10 pages

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The Tobit model (censored regression model) is an important basic model appearing in many applications in economics. In this paper we consider a duration Tobit model in which a duration variable which counts the number of times the data is being censored is included as a covariate. We show that in this case, the dependent variable eventually becomes degenerate, which makes the asymptotic Fisher information matrix singular, rendering the standard methods of asymptotic inference inapplicable. We provide a simulation study and an empirical application to support our results.
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Hafner, C., & Preminger, A. (2014). A note on the Tobit model in the presence of a duration variable (ISBA Discussion Paper 2014/10). https://hdl.handle.net/2078.5/199785