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

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 126
Issue: C
Pages: 47-50

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:126:y:2015:i:c:p:47-50
Journal Field
General
Author Count
2
Added to Database
2026-01-25