Generalized Tobit

From HandWiki

In econometrics, the generalized Tobit model is a generalization of the Tobit model named after James Tobin. It is also called the Heckit model[1] after James Heckman. Another name is "type 2 Tobit model".[2]

Tobit models assume that a random variable is censored.

Etymology

When asked why it was called the "Tobit" model, instead of Tobin, James Tobin explained that this term was introduced by Arthur Goldberger, either as a contraction of "Tobin probit", or as a reference to the novel The Caine Mutiny, a novel by Tobin's friend Herman Wouk, in which Tobin makes a cameo as "Mr Tobit". Tobin reports having actually asked Goldberger which it was, and the man refused to say.[3]

Notes

References

  • Amemiya, Takeshi (1985) Advanced Econometrics. Harvard University Press. ISBN:0-674-00560-0
  • Tobin, James (1958) "Estimation of relationships for limited dependent variables", Econometrica, 26, 24–36
  • Heckman, James. (1979). "Sample Selection Bias as a Specification Error." Econometrica, 47,153–161.