Arbeitspapier
IV methods for Tobit models
This paper studies models of processes generating censored outcomes with endogenous explanatory variables and instrumental variable restrictions. Tobit-type left censoring at zero is the primary focus in the exposition. Extension to stochastic censoring is sketched. The models do not specify the process determining endogenous explanatory variables and they do not embody restrictions justifying control function approaches. Consequently, they can be partially or point identifying. Identified sets are characterized and it is shown how inference can be performed on scalar functions of partially identified parameters when exogenous variables have rich support. In an application using data on UK household tobacco expenditures inference is conducted on the co-efficient of an endogenous total expenditure variable with and without a Gaussian distributional restriction on the unobservable and compared with the results obtained using a point identifying complete triangular model.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP16/22
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
Model Construction and Estimation
- Thema
-
censored outcomes
endogeneity
incomplete models
instrumental variables
partial identiÖcation
stochastic censoring
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chesher, Andrew
Kim, Dongwoo
Rosen, Adam M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2022
- DOI
-
doi:10.47004/wp.cem.2022.1622
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chesher, Andrew
- Kim, Dongwoo
- Rosen, Adam M.
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2022
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