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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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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30 views
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 ...
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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 ...
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0answers
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 ...
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0answers
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 ...
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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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1answer
17 views
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 ...
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1answer
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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14 views
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"
...
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1answer
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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1answer
43 views
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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1answer
60 views
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 ...
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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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72 views
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 ...
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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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28 views
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,...
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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 ...
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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 ...
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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.
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1answer
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 ...
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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 ...
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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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1answer
104 views
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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1answer
61 views
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 ...
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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 ...
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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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1answer
48 views
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 ...
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1answer
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, ...
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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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20 views
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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1answer
214 views
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 ...
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1answer
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 ...
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1answer
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 ...
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1answer
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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381 views
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 ...
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1answer
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 ...
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1answer
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 ...
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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 ...
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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 ...
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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 ...
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1answer
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, ...
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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?
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1answer
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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0answers
75 views
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 ...
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1answer
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 ...
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1answer
947 views
Tobit for corner solution models: normality and homoskedasticity tests
I would like to regress several explanatory variables (called X) on a dependent variable called Y where Y is strictly positive and continuous. It is left-censored at 0. Y represents how much a ...
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209 views
Sign and size of OLS bias for Tobit models
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 ...
