Abstract
The term limited dependent variable was first used by Tobin (1958) to denote the dependent variable in a regression equation that is constrained to be non-negative. In Tobin’s study the dependent variable is the household’s monetary expenditure on a durable good, which of course must be non-negative. Many other economic variables are non-negative. However, non-negativity alone does not invalidate standard linear regression analysis. It is the presence of many observations at zero which causes bias to the least squares estimator and requires special analysis. For example, Tobin’s data contain many households for which the expenditure on a durable good in a given year is zero.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Amemiya, T. 1973. Regression analysis when the dependent variable is truncated normal. Econometrica 41, 997–1016.
Amemiya, T. 1979. The estimation of a simultaneous-equation Tobit model. International Economic Review 20, 169–81.
Amemiya, T. 1985. Advanced Enconometrics. Cambridge, Mass: Harvard University Press.
Dubin, J.A. and McFadden, D.L. 1984. An econometric analysis of residential electric appliance holdings and consumption. Econometrica 52, 345–62.
Duncan, G.M. 1980. Formulation and statistical analysis of the mixed, continuous discretedependent variable model in classical production theory. Econometrica 48, 839–52.
Fair, R.C. and Jaffee, D.M. 1972. Methods of estimation for markets in disequilibrium. Econometrica 40, 497–514.
Gronau, R. 1973. The effects of children on the housewife’s value of time. Journal of Political Economy 81, S168–S199.
Heckman, J.J. 1974. Shadow prices, market wages, and labor supply. Econometrica 42, 679–93.
Heckman, J.J. 1976. The common structure of statistical models of truncation, sample selection and limited dependent variables and a simple estimator for such model. Annals of Economic and Social Measurement 5, 475–92.
Lee, L.F. 1978. Unionism and wage rates: a simultaneous equations model with quantitativeand limited dependent variables. International Economic Review 19, 415–33.
Maddala, G.S. 1983. Limited-Dependent and Qualitative Variables in Econometrics. Cambridge: Cambridge University Press.
Powell, J.L. 1981. Least absolute deviations estimation for censored and truncated regression models. Technical Report No. 356, Institute for Mathematical Studies in the Social Sciences, Stanford University.
Quandt, R.E. 1982. Econometric disequilibrium models. Econometric Reviews 1, 1–63.
Tobin, J. 1958. Estimation of relationships for limited dependent variables. Econometrica 26, 24–36.
Editor information
Copyright information
© 1990 Palgrave Macmillan, a division of Macmillan Publishers Limited
About this chapter
Cite this chapter
Amemiya, T. (1990). Limited Dependent Variables. In: Eatwell, J., Milgate, M., Newman, P. (eds) Econometrics. The New Palgrave. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-20570-7_18
Download citation
DOI: https://doi.org/10.1007/978-1-349-20570-7_18
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-0-333-49543-8
Online ISBN: 978-1-349-20570-7
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)