The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Tobit Model

  • Jean-Marc Robin
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2349

Abstract

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.

Keywords

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

Bibliography

  1. 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
  2. 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
  3. Heckman, J.J. 1974. Shadow prices, market wages, and labor supply. Econometrica 42: 679–694.CrossRefGoogle Scholar
  4. Powell, J.L. 1986. Symmetrically trimmed least squares estimation for Tobit models. Econometrica 54: 1435–1460.CrossRefGoogle Scholar
  5. Pudney, S. 1989. Modelling individual choice: The econometrics of corners, kinks and holes. Oxford: Blackwell.Google Scholar
  6. Tobin, J. 1958. Estimation for relationships with limited dependent variables. Econometrica 26(2): 24–36.CrossRefGoogle Scholar

Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Jean-Marc Robin
    • 1
  1. 1.