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

Hafner, Christian;Preminger, Arie
(2015) Economics Letters — Vol. 126, p. 47-50 (2015)

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Abstract
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.Weshow 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. (2015). A note on the Tobit model in the presence of a duration variable. Economics Letters, 126, 47-50. https://doi.org/10.1016/j.econlet.2014.11.010 (Original work published 2015)