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

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.Weshow 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.

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Type de document	Article de périodique (Journal article) – Article de recherche
Type d'accès	Accès interdit
Année de publication	2015
Langue	Anglais
Information sur le périodique	"Economics Letters" - Vol. 126, p. 47-50 (2015)
Peer reviewed	oui
Editeur	Elsevier BV (Amsterdam)
issn	0165-1765
e-issn	1873-7374
Statut de la publication	Publié
Affiliations	UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Mots-clés	Limited dependence ; Censoring ; Duration ; Labor supply
Liens	http://hdl.handle.net/2078.1/171456[Handle] https://doi.org/10.1016/j.econlet.2014.11.010[DOI]

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	[boreal:141775]	A note on the Tobit model in the presence of a duration variable