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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.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

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  • Hafner, Christian & Preminger, Arie, 2015. "A note on the Tobit model in the presence of a duration variable," LIDAM Reprints ISBA 2015038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2015038
    Note: In : Economics Letters, vol. 126, p. 47-50 (2015)
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    References listed on IDEAS

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    8. PAPAVASILIOU, Anthony & HE, Yi & SVOBODA, Alva, 2013. "Self-commitment of combined cycle units under electricity price uncertainty," LIDAM Discussion Papers CORE 2013051, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. MADANI, Mehdi & VAN VYVE, Mathieu, 2013. "A new formulation of the European day-ahead electricity market problem and its algorithmic consequences," LIDAM Discussion Papers CORE 2013074, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. LAMAS, ALEJANDRO & CHEVALIER, Philippe, 2013. "Jumping the hurdles for collaboration: fairness in operations pooling in the absence of transfer payments," LIDAM Discussion Papers CORE 2013073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. VARDAR, N. Baris, 2013. "Imperfect resource substitution and optimal transition to clean technologies," LIDAM Discussion Papers CORE 2013072, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    Cited by:

    1. 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.

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    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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