# Questions tagged [tobit-regression]

Tobit regression is used to estimate a linear regression model when the dependent variable is censored, i.e. when it is only observed over an interval of its support.

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58 views

### A workaround for using linear models (rather than Tobit) with censored data?

I have a left censored dependent variable where many of the observations have a value of zero. The data is clustered (multiple measurements over time for each person). I initially decided to use a ...
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### Estimation of censored regression model

I am refreshing my knowledge with respect to econometric modelling in general. I came across page 201 of the book 'Enjoyable Econometrics by Philip Franses' and I had some difficulties interpreting ...
15 views

### Multiple regression for left-censored independent and dependent variables

I am interested in developing a predictive multiple regression model which predicts a concentration of one compound based on the measured concentrations of several other compounds. Both the dependent ...
14 views

### Unbiased estimation of regression coefficients conditional on a range of the dependent variable

I am interested in the relationship between a set of explanatory variables and a particular outcome variable for values of the outcome above a certain cutoff. Can I simply regress the outcome on the ...
19 views

### Conditional heteroscedasticity for the tobit model in Layman's terms

I have been using the crch package for modelling censored data with the tobit model. I noticed early on that the errors (by far) are not normally distributed by ...
51 views

### Question about a type 3 tobit model MLE

I am struggling a bit with the derivation of the MLE for this question about tobit models,. I have seen derivations of type II and type I MLEs online, but I was hoping someone could give me some ...
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### Question about deriving probabilities in the Tobit model

In the Tobit model: Why do you divide by σ when deriving the probability that y = 0? Is it something to do with the assumption that ε is distributed N(0,σ^2) and not N(0,1)? If this is the case why ...
103 views

### What is really the Scale or Sigma parameter of a tobit regression?

In this most upvoted CV answer on that topic the "scale" parameter (aka "sigma" in Stata) thrown in a tobit regression output is explained to be "the estimated standard deviation of the residuals". (...
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### how to remove the heteroscedasticity of latent variable in tobit model? by using SAS software

i have done a tobit model. when using white test to test heteroscedasticity of latent, the outcome is significant. after search related questions in stackexchange, i found "inverse hyperbolic sine" ...
80 views

### Hurdle model vs left censored model

When dealing with response variables that have lots and lots of zeros, is there a clear argument for when hurdle models are preferred and when left censored or tobit models are preferred?
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### Picking from Logistic vs Survival Model

I have a health data set for measuring the effectiveness of a drug. (Age, Gender(0,1), Morbidity(1,2,3), Dosage(0,1), Group (a,b), Effect (Not effective =0, effective = 1), and Time (days needed for ...
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### How to get rid of zero standard error values, missing t-values and p-values

I was running a couple of Tobit regressions on SAS. Surprisingly, I found that estimates from one model show 0 standard errors, missing (.) t-values and p-values. Why did this happen? What does this ...
59 views

### Estimate Tobit 5 model in two steps

I have the following phenomenon to be modeled. In the first stage, a firm chooses a course of action from a choice set of three options. The probability of choosing a particular option is hypothesized ...
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### SAS vs. Stata: Interpreting Tobit scale and sigma Coefficients

I'm trying to replicate a SAS script that imputes censored wage observations using a Tobit model in Stata. However, I'm confused ...
35 views

### GSEM Tobit margin

I am trying to estimate the marginal effects as follows but am unable to get it right. I run the tobit model and it shows ok, but am not sure how to replicate it with gsem. I am running Stata 14.2 MP. ...
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### How would you go about estimating a friction model? (limited dependend variable)

How would you go about estimating a friction model, developed by Rosett (1959)? It is an extension of Tobit. See for instance and its references. Though it is applied in many papers in various fields,...
173 views

### Comparing the output and fit of an OLS and a Tobit model, and comparing Tobit models

I am trying to estimate a quite complicated model (many variables with different structures), with a limited dependent variable, which ranges from 0-100% with about 45% of the sample having an ...
143 views

### Censored Regression/Tobit: coefficients decrease drastically when non-normal distribution is assumed

I am trying to use a Tobit/ censored regression model to estimate the effect of a certain political condition on a tax. Our dependent variable is zero-inflated because in most of our observations this ...
121 views

### My Tobit model gives all infinite standard deviations

I am trying to do a Tobit estimation (in R) because my dependent variable ranges from 0-100 with many values at a 100. ...
76 views

### standard error estimate in CRCH

[Disclosure: I previously posted this over at stackoverflow, but I think that was the wrong place as I got no response. I've since deleted that post.] I need to run a regression on censored data, and ...
116 views

### Censored regression with right censored data

I'm kind of new to Stats and R in general and I'm looking to clear some doubts. I'm trying to use Censored regression models to do the analysis of my qPCR data. The response variable is continuous (Ct ...
125 views

### Tobit model: Left and right censoring

In my data, my outcome variable days.to.event is conceptually left censored at 0 days and right censored at 30 days. However, since the ...
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### Tobit model with flexible censoring point in R

I am currently writing my MSc thesis and I am using a Tobit model. My data consists of fleet and sales data. The censored dependent variable is quantity and this quantity is higher than the fleet ...
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### How many parameters should I report in an AIC table for a tobit model?

I am considering using a tobit model in R to estimate velocity of a number of animals moving north across a landscape. I am working with simulated data, so when an ...
270 views

### When and why should we use Tobit Regression model?

I am trying to find out determinants of corporate cash holdings for a panel dataset of 1696 firms over a period of 21 years. The dependent variable is the ratio of 'Cash and Cash Equivalents' to '...
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### How to model if a company is mentioned in a review (volume) and how it is mentioned (valence)?

I am working with social media data of Brand A and would like to model what features of posts of Brand A are linked to if a competitor (Brand B) is mentioned in the comments of different posts of ...
473 views

### Fixed Effects for fractual response variable with many zero observations

I am investigating the impact of some independent variables on educational expenditure shares, which is given as the proportion of $\frac{educational\_expenditure_i}{total\_expenditures_i}$. The ...
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### validity of tobit estimates after multiple imputation

I want to estimate tobit marginal effects using multiply imputed data, however I see that tobit is not among the estimation commands supported by Stata's MI prefix - I understand that the validity of ...
710 views

### Two intercepts for Tobit regression in R using VGAM

I'm fitting a Tobit regression left censored at 0 using the vglm function from the VGAM package. But, after fitting the model, I'm getting two intercepts? Is this a problem with the function? If not, ...
225 views

### Can I use a two-limit tobit model to drop certain outliers?

I am implementing a Tobit model, since my dependent variable (educational expenditure shares) is left-censored at 0. Below you'll find a swarmplot of the dependent variable and the explanatory ...
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### Are there problems with estimating regressions of longitudinal data by year?

I am studying the behavior of 900 firms for a period of 10 years. The data is a balanced panel. Multivariate analysis consists of Tobit estimations for each year and probit estimations for each year. ...
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### Confidence intervals for the coefficients of a Tobit model

Given a linear regression model for a dependent variable that is left-censored at 0 (i.e., a Tobit model), how can I calculate confidence intervals for the coefficients? Ideally, you would provide ...
147 views

### Inverse Gamma Posterior variance derivation in Tobit model

I have a doubt about the posterior distribution of the variance parameter for the Tobit model as provided by Koop, Poierier, Tobias (2007) in "Bayesian Econometrics Methods" page 221. Posteriors for ...
522 views

### Using PROC QLIM OUTPUT to get predicted values from a two-step Tobit model

I am fitting a two-step Tobit model through PROC QLIM in SAS. The first step of the model is a probit model for whether someone "responds" (e.g. makes a donation). The second step of the model is ...
223 views

### Probability Density Function in a Tobit Model

I have been taught the following derivation of the tobit model from a latent underlying variable model: Suppose: $y*=$ latent variable (e.g. utility) $y=max[0,y*]$ And y* = \mathbf X\beta + u,\...
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### Confidence interval of the panel data model

I have a panel of $m$ individuals over $n$ periods of time. I am estimating decision making rules of people $Y=\beta_0+\beta_1X + ...+\epsilon$. I have reasons to believe that $\beta_1$ are very ...
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### goodness of fit in regression/ models include a significant number of insignificant variables

I have performed analyses using two different regression models, multi-nominal regression and Tobit regression. In the first model I measured the impact of 9 variables on choosing travel mode while ...
2k views

### likelihood function for Tobit

I am trying to sort out the likelihood function for a two-limit Tobit model (data censored from above and below). To start off, suppose you have data censored from below at zero. The log-likelihood ...
237 views

### Predicted probabilities - Tobit/probit - differences

For long I have been a silent reader of your forum, but now I have to ask you for your expertise, as I haven't found an answer to my question yet. Short to my back story: My aim is to calculate the ...
417 views

### In R, can I include random effects in a censored regression?

I am comparing the consumption of algae given a treatment (5 levels) each at a unique site (N = 20). I deployed the same amount of algae at each site and assessed algal consumption by recording the ...
210 views

### Omitting the Inverse Mills Ratio and corresponding coefficient from a model?

I have a question with regard to the inverse mills ratio as part of my type II Tobit model (Heckman model). The residuals of my Probit and OLS are not significantly correlated (r = 0,000666; p-value ...
703 views

### Tobit model (or survival analysis) for imputation of censored data in R

I have some data with missing values. For the missing observations I know a range, in which the true values are. I want to use a tobit model to predict the variable with these missing values. The ...
1k views

### Implementing a hurdle/Zero-inflated Poisson model in R with right-censored count data

I'm trying to fit a hurdle/zero-inflated (I haven't decided yet) model on microbiological water quality data that is also right-censored: either the water sample is contaminated with bacteria or not, ...
256 views

### Using tobit for a positively skewed variable

I have a continuous dependent variable which is positively skewed. The relevant data is panel data. Can we run a Tobit regression on this dependent variable?
3k views

### Exact difference between two-part models (e.g., Cragg) and Tobit type 2 models (e.g., Heckman)

I want to run a regression where the DV is the amount of funding (in USD) obtained by startups. Naturally the DV contains a lot of zero's (~55%) and has a continuous distribution for y>0. In general ...
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### Appropriate Model for inflated variable at non zero value

I have a question regarding the appropriate regression model for a continuous variable that ranges from zero to 10. This variable has a large concentration of observations in the "10" value (almost 50 ...
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### Modelling a censored outcome (tobit) with correlated data (random effect) in R [duplicate]

I have a continuous outcome that I need to assume is right-censored, so I'm looking for a way to fit a tobit regression model, however, my data are from family pedigrees so I also have to account for ...
448 views

### How to handle interruptions (0 values) over a certain period in time series analysis?

Is there a way that I can combine two models for time series? I am trying to predict the production of tomatoes per week per $m^2$ (black line), based on light (orange) and temperature (magenta). At ...
I have a question related to the sign and size of the OLS bias in the case of a Tobit model. Consider the following model (1) Sample of observations $\{X_i,Y_i\}_{i=1}^n$, i.i.d., $X_i$ is a vector ...