A note on the Tobit model in the presence of a duration variable
| Autor: | Christian M. Hafner, Arie Preminger |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
Censored regression model
Economics and Econometrics Variables media_common.quotation_subject Degenerate energy levels Inference jel:C24 jel:J64 limited dependence censoring duration labor supply Rendering (computer graphics) symbols.namesake Statistics Covariate Econometrics symbols Economics Tobit model Fisher information Finance media_common |
| Zdroj: | Economics Letters. 126:47-50 |
| ISSN: | 0165-1765 |
| DOI: | 10.1016/j.econlet.2014.11.010 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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