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Nonrandom Sampling and Tobit Models

Nonrandom Sampling and Tobit Models . ECON 721. Different Types of Sampling. Random sampling Censored sampling Truncated sampling Nonrandom Exogenous stratified Endogenous stratified Choice-based . Tobit Models. Main reference: Amemiya, Chapter 10. Type I Tobit Model.

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Nonrandom Sampling and Tobit Models

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  1. Nonrandom Sampling and Tobit Models ECON 721

  2. Different Types of Sampling • Random sampling • Censored sampling • Truncated sampling • Nonrandom • Exogenous stratified • Endogenous stratified • Choice-based

  3. Tobit Models • Main reference: Amemiya, Chapter 10

  4. Type I Tobit Model • Tobin’s (1958) example – expenditure on a durable good only observed if expenditure exceeds the minimum price available.

  5. Truncated Type I Tobit • Only observe data for people who purchased the good (e.g. gather data at appliance store)

  6. Ways of Estimating Tobit Model • MLE • If censored, estimating probit and get coefficients up to scale • By OLS using results for conditional means of truncated normal random variables

  7. Heckman’s Two-Step Procedure

  8. NLLS

  9. Tobit Type III Model

  10. likelihood

  11. Estimation by MLE

  12. Example: Gronau’s female labor supply model

  13. Heckman’s female labor supply model (explains choice of H as well)

  14. Type III Tobit Model (observe both wages and hours)

  15. Estimation • MLE • Two-step method

  16. Type V Tobit Model

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