Tobit models are used to model variables subject to exogenous censoring. For example, duration data cannot be observed longer than the survey period; hours of work cannot be observed negative although an individual might be better off consuming more leisure time than is available. This article reviews a list of econometric techniques to estimate Tobit models. Maximum likelihood, Heckman’s two-stage estimator, and Powell’s trimmed least squares are successively addressed.
Censored regression model Endogenous regressors Heteroskedasticity Labour supply Maximum likelihood Non-normal errors Ordinary least squares Probit model Tobit model Trimmed least squares Two-stage estimation
This is a preview of subscription content, log in to check access
Blundell, R.W., and R.J. Smith. 1986. An exogeneity test for a simultaneous equation Tobit model with an application to labor supply. Econometrica 54: 679–686.CrossRefGoogle Scholar
Blundell, R.W., and R.J. Smith. 1989. Estimation in a class of simultaneous equation limited dependent variable models. Review of Economic Studies 56: 37–57.CrossRefGoogle Scholar