nonrandom sampling and tobit models
DESCRIPTION
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. - PowerPoint PPT PresentationTRANSCRIPT
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• Tobin’s (1958) example – expenditure on a durable good only
observed if expenditure exceeds the minimum price available.
Truncated Type I Tobit
• Only observe data for people who purchased the good (e.g. gather data at appliance store)
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
Heckman’s Two-Step Procedure
• NLLS
Tobit Type III Model
likelihood
Estimation by MLE
Example: Gronau’s female labor supply model
Heckman’s female labor supply model (explains choice of H as well)
Type III Tobit Model (observe both wages and hours)
Estimation
• MLE• Two-step method
Type V Tobit Model