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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2SLS or IV with a tobit distribution in the first stage
I would like to use a two stage least squares approach (2SLS), where the first stage would benefit from a Tobit specification.
I cross posted this on stackoverflow because there might be quite some ...
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24 views
Leverage after Tobit Regression
In STATA, after running a TOBIT regression, I'm trying to calculate the leverage and Cook's Distance values. When I run: predict c, cooksd I get the error: 'option ...
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41 views
Is it practical to use Tobit models predictively for censored latent variables?
I'm developing a model in R estimating vehicle miles traveled (VMT) using Tobit specification, since my data include a cluster of zero VMT values.
I understand that the coefficients given by a Tobit ...
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27 views
best regression model for a percentage of function variable
I am trying to choose the best regression model for a dependent variable 'percentage of normal shoulder function'. This variable is non normal and clustered at the high end of the possible range, ie ...
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Elasticity estimates with Tobit using margins command in State 12
I am running a tobit regression to model education expenditures (zero for some households) and tried using margins, eydx(*) to obtain the elasticity estimates, but ...
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37 views
Tobit model for continuous zero inflated data?
I would like advice on how to apply an appropriate linear model to my data.
I have several continuous independent variables, and a dependant variable with continuous distance measurements.
This ...
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17 views
Difference-in-difference regression and random-effects Tobit model
I have a question about the difference-in-differences (DID) model.
In general, we use random-effects Tobit model to fit the censored panel data (in Stata command: xttobit...).
But to my knowledge, ...
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39 views
Tobit model with truncated data
I would like to examine the impact of institutional ownership on M&A deal size, as in Andriosopoulos & Yang (2015). However, I am in doubt which regression method to use for measuring this ...
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14 views
Asking: interpret tobit regression to estimate willingness to pay from payment card
I have a research question, that I have to evaluate the Willingness to pay data for conservation. My input data in the type of payment card : $0, <\$2, \$2-\$4, \dotsc, >\$10$. I use middle ...
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Predictive Margins After Mixed-Effect Tobit
I'm hoping to get advice on the difference between two predictive margins outputs after running a mixed-effect tobit regression (in Stata 16.0).
Here is a sample output (modified from my actual case),...
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24 views
2-stage selection model with censoring: Heckman selection model with second stage censoring
I am seeking to get some insights on the application of two-part Tobit-type models to a distribution with potentially selection (from 0 into +ve) and upper truncation (censoring of data at 100%).
...
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65 views
Difference-in-difference using tobit regression with mediation (controlling for fixed effects)
I want to conduct a mediation analysis in a difference-in-difference setting. I want to determine which element of the policy was effective. My difference-in-difference is based on a matched sample ...
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116 views
How to estimate high dimension fixed effects (HDFE) in a Tobit model?
I'm searching for a possibility to estimate a Tobit model with a high number of individual fixed effects. To be more precise, my goal is to estimate the individual determinants of the number of hours ...
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$\ln(y)_{ij} = \beta_1 \ln(x_1)_{ij} + \beta_2 \ln(x_2)_{ij} + \epsilon$ for censored data, what would be the elasticity of $y$ w.r.t $x_1$?
Suppose we wish to estimate
$$
ln(y)_{ij} = \beta_1ln(x_1)_{ij} + \beta_2 ln(x_2)_{ij} + \epsilon
$$
If the data was not censored, then the elasticity of $y$ w.r.t $x_1$ would be $\beta_1$.
However, ...
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Hurdle model: different results for 2nd stage and truncated regression
I am trying to estimate a hurdle ('zero inflated') model using the R package mhurdle to model farmers' participation & participation intensity in environmental schemes. For understanding, I have ...
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83 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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44 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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38 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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15 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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56 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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1answer
21 views
Question about deriving probabilities in the Tobit model
In the Tobit model: Why do you divide by Ļ when deriving the probability that y = 0? Is it something to do with the assumption that Īµ is distributed N(0,Ļ^2) and not N(0,1)? If this is the case why ...
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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 ...
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152 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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55 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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162 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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332 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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231 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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287 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
91 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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137 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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146 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
159 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
197 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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291 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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672 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
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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 ...
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1answer
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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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257 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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1answer
313 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
172 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
702 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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291 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 ...
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1answer
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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
265 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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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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225 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 ...
