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

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  • Hafner, Christian
  • Preminger, Arie

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. 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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Suggested Citation

  • Hafner, Christian & Preminger, Arie, 2014. "A note on the Tobit model in the presence of a duration variable," LIDAM Discussion Papers ISBA 2014010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2014010
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    Cited by:

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    2. Dong Feng & Jian Li & Xintao Li & Zaisheng Zhang, 2019. "The Effects of Urban Sprawl and Industrial Agglomeration on Environmental Efficiency: Evidence from the Beijing–Tianjin–Hebei Urban Agglomeration," Sustainability, MDPI, vol. 11(11), pages 1-12, May.

    More about this item

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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