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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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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 ...
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26 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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28 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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19 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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97 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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74 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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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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55 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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83 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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79 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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50 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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39 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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221 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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16 views

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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94 views

residuals of latent variable in Tobit estimation

I'm applying a Tobit model $$ y^* = x\beta + e$$ $$y = \max(y^*,0), $$ where $y$ and $x$ are observed. For consistency, the residual cannot be heteroskedastic; the latent residual $e$ is distributed $...
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270 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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Anyone familiar with Tobit panel models w/ random effects (and Stata's xttobit and metobit)?

I am not an expert when it comes to econometrics but I find myself in need of carrying out an empirical analysis. My question pertains to how exactly I might (or should) go about specifying the random ...
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26 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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431 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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182 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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152 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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134 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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390 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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161 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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313 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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60 views

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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1k 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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196 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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341 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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179 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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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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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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217 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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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 ...
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396 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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824 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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190 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 ...
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How to get R squared/goodness of fit for Tobit model in R?

I do a Tobit regression to analyze censored data. To measure the goodness of fit the authors of these papers use Efron's $R^2$. So my idea is to use this one as well. To realize my Tobit regression, ...
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317 views

Using Tobit model to model right censored data

I have a data set that looks like this: ...
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1answer
13k views

How to model non-negative zero-inflated continuous data?

I'm currently trying to apply a linear model (family = gaussian) to an indicator of biodiversity that cannot take values lower than zero, is zero-inflated and is ...
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248 views

Linear mixed model heterogeneity

I have a run a linear mixed effects model in R to model clinical data. However, this model is heteroscedastic (as there excess zeros in the response variable). I have tried transforming the data (log ...
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Confidence intervals for Tobit model in package AER in R

I use a Tobit model to predict censored data. I use the AER package in R. A toy example looks as follows: ...
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Analysis: Dependable variable depends on previous decision

My situation is as follows: Respondents in my questionnaire had the option to take money (anything from 0-10). In the end, they were advised to take that money out of an envelope. This process was not ...
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What is the best model to analyze the trend of rates?

I am trying to analyze the trend of cesarean section rates in several countries for 1980-2014. Given that this outcome variable can only adopt values between 0 and 1 I am wondering which is the best ...
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2k views

Margins contrast after Tobit

I am researching firm level data. My endogenous variable is bounded from above and below. Thus I use a Tobit model to take account of the truncation. Among others I am interacting a continuous with a ...