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

Christian Hafner and Arie Preminger

Economics Letters, 2015, vol. 126, issue C, 47-50

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.

Keywords: Limited dependence; Censoring; Duration; Labor supply (search for similar items in EconPapers)
JEL-codes: C24 J64 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: A note on the Tobit model in the presence of a duration variable (2015)
Working Paper: A note on the Tobit model in the presence of a duration variable (2015)
Working Paper: A note on the Tobit model in the presence of a duration variable (2014)
Working Paper: A note on the Tobit model in the presence of a duration variable (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:126:y:2015:i:c:p:47-50

DOI: 10.1016/j.econlet.2014.11.010

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