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

Christian Hafner and Arie Preminger
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Arie Preminger: Ben Gurion University

No 2014013, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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: 2014-06-11
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: 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 (2015)
Working Paper: A note on the Tobit model in the presence of a duration variable (2014)
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