TOBIT MODELS - A SURVEY
TOBIT MODELS - A SURVEY
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DOI：
10.1016/0304-4076(84)90074-5
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发表时间：
1984-01-01
影响因子：
6.3
通讯作者：
AMEMIYA, T
中科院分区：
文献类型：
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作者：
AMEMIYA, T
Tobit模型是指因变量的范围在某种程度上受到约束的回归模型。在经济学中，这样的模型最早是在托宾（1958）的开创性著作中提出的。他使用回归模型分析家庭在耐用品上的支出，该模型特别考虑到支出（他的回归模型的因变量）不能为负的事实。托宾称他的模型为有限因变量模型。它和它的各种概括在经济学家中被普遍称为托比特模型，这是戈德伯格（1964）创造的一个短语，因为它与probit模型相似。这些模型也被称为删节回归模型或截断回归模型。如果在指定范围外的观测值完全丢失，并且至少可以观察到外生变量，则称为截断模型。稍后将给出更精确的定义。截尾和截尾回归模型已经在其他学科（特别是生物计量学和工程学）中发展起来，或多或少独立于它们在计量经济学中的发展。生物计量学家用这个模型来分析病人的生存时间。如果患者在最后观察日期仍然活着，或者无法确定他或她的位置，则会进行检查或截断。类似地，工程师使用模型来分析材料或机器或系统的故障时间。这些模型被称为生存模型。社会学家和经济学家还使用生存模型来分析失业、领取福利、从事特定工作、居住在特定地区、结婚以及两者之间的时间间隔等现象的持续时间
Tobit models refer to regression models in which the range of the dependent variable is constrained in some way. In economics, such a model was first suggested in a pioneering work by Tobin (1958). He analyzed household expenditure on durable goods using a regression model which specifically took account of the fact that the expenditure (the dependent variable of his regression model) cannot be negative. Tobin called his model the model of limited dependent variables. It and its various generalizations are known popularly among economists as Tobit models, a phrase coined by Goldberger (1964) because of similarities to probit models. These models are also known as censored or truncated regression models. The model is called truncated if the observations outside a specified range are totally lost and censored if one can at least observe the exogenous variables. A more precise definition will be given later.Censored and truncated regression models have been developed in other disciplines (notably biometrics and engineering) more or less independently of their development in econometrics. Biometricians use the model to analyze the survival time of a patient. Censoring or truncation occurs either if a patient is still alive at the last observation date or if he or she cannot be located. Similarly, engineers use the model to analyze the time to failure of material or of a machine or a system. These models are called survival models.’Sociologists and economists have also used survival models to analyse the duration of such phenomena as unemployment, welfare receipt, employment in a particular job, residing in a particular region, marriage, and the period of time between