Censored Regression Models with Unobserved Stochastic Censoring Thresholds

26 Pages Posted: 8 Feb 2001 Last revised: 5 Sep 2021

See all articles by Forrest D. Nelson

Forrest D. Nelson

University of Iowa - Henry B. Tippie College of Business - Department of Economics

Date Written: December 1974

Abstract

The "Tobit" model is a useful tool for estimation of regression models with a truncated or limited dependent variable, but it requires a threshold which is either a known constant or an observable and independent variable. The model presented here extends the Tobit model to the censored case where the threshold is an unobserved and not necessarily independent random variable. Maximum likelihood procedures can be employed for joint estimation of both the primary regression equation and the parameters of the distribution of that random threshold. The appropriate likelihood function is derived, the conditions necessary for identification are revealed, and the particular estimation difficulties are discussed. The model is illustrated by an application to the determination of a housewife's value of time.

Suggested Citation

Nelson, Forrest D., Censored Regression Models with Unobserved Stochastic Censoring Thresholds (December 1974). NBER Working Paper No. w0063, Available at SSRN: https://ssrn.com/abstract=259377

Forrest D. Nelson (Contact Author)

University of Iowa - Henry B. Tippie College of Business - Department of Economics ( email )

108 Pappajohn Building
Iowa City, IA 52242
United States
(319) 335-0854 (Phone)

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