scholarly journals Bounded-influence estimators for the tobit model

1990 ◽  
Vol 44 (1-2) ◽  
pp. 107-126 ◽  
Author(s):  
Franco Peracchi
Keyword(s):  
Tobit Model ◽  
Bounded Influence

Modeling bicycle crash costs using big data: A grid-cell-based Tobit model with random parameters

2021 ◽  
Vol 91 ◽  
pp. 102953 ◽  
Author(s):  
Kun Xie ◽  
Kaan Ozbay ◽  
Di Yang ◽  
Chuan Xu ◽  
Hong Yang
Keyword(s):  
Big Data ◽  
Grid Cell ◽  
Tobit Model ◽  
Random Parameters

scholarly journals Factors Influencing Smallholder Crop Diversification: A Case Study of Manicaland and Masvingo Provinces in Zimbabwe

2016 ◽  
Vol 3 (2) ◽  
pp. 1 ◽  
Author(s):  
Lighton Dube
Keyword(s):  
Smallholder Farmers ◽  
Diversity Index ◽  
Tobit Model ◽  
Crop Diversification ◽  
Factors Associated ◽  
Head Of Household ◽  
The Mean ◽  
Female Headed Households ◽  
Extension Support

<p>This study analyzes the degree of crop diversification and factors associated with crop diversification among 479 smallholder farmers in Manicaland and Masvingo provinces of Zimbabwe. The Herfindahl index used to estimate diversification, while the Tobit model evaluated factors associated with crop diversification.  The mean crop diversity index is 0.54. On average households in Nyanga and Bikita are the most diversified with indices of 0.48 and 0.49 respectively. The most specialized households are in Mutasa and Chiredzi with indices of 0.62. An analysis by gender shows that male headed households are slightly more diversified than female headed households. The Tobit model indicates that gender of head of household, education, number of livestock units, access to irrigation, membership to a farmers group, access to markets, farming experience, farms on flat terrain, farmer to farm extension, routine extension, agro-ecological zone and household income are significant contributors to increasing crop diversification. In turn, crop specialization is significantly associated with off-farm employment, soil fertility, farmers who are happy with extension contacts per year, farmers trained using the farmer field school approach and farmers who receive NGO extension support.</p>

Bounded influence estimator for GARCH models: evidence from foreign exchange rates

2010 ◽  
Vol 42 (11) ◽  
pp. 1437-1445 ◽  
Author(s):  
Jinliang Li ◽  
Chihwa Kao ◽  
Wei David Zhang
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Bounded Influence

scholarly journals Determinants of Violations in the SET50 Index Options Pricing Relationships: Put-Call-Futures Parity and Box Spread Tests

2018 ◽  
Vol 14 (3) ◽  
pp. 1 ◽  
Author(s):  
Woradee Jongadsayakul
Keyword(s):  
Transaction Costs ◽  
Risk Premium ◽  
Tobit Model ◽  
Options Pricing ◽  
Options Market ◽  
Index Options ◽  
Exercise Price ◽  
Daily Data ◽  
Before And After ◽  
Contract Specification

Although SET50 Index Options, the only option product on Thailand Futures Exchange, has been traded since October 29, 2007, it has faced the liquidity problem. The SET50 Index Options market must offer a risk premium to compensate investors for liquidity risk. It may cause violations in options pricing relationships. This research therefore uses daily data from October 29, 2007 to December 30, 2016 to compare the violations in SET50 Index Options pricing relationships before and after change in contract specification on October 29, 2012 and investigate determinants of these violations using Tobit model. Two tests of SET50 Index Options pricing relationships, Put-Call-Futures Parity and Box Spread, are employed. The test results of Put-Call-Futures Parity show that the percentage and baht amount of violations in many cases are greater in the period before the modification of SET50 Index Options. Without transaction costs, we also see more Box Spread violations before contract adjustment. However, after taking transaction costs into account, there are more percentage and baht amount of Box Spread violations in the later time period. The estimation of Tobit model shows that the violation sizes of both Put-Call-Futures Parity and Box Spread, excluding transaction costs, depend on the liquidity of SET50 Index Options market measured by option moneyness and open interest. The SET50 Index Options contract specification, especially exercise price, also significantly affects the size of violations, though the direction of a relationship is not cleared.

More on testing the normality assumptionin the Tobit Model

2009 ◽  
Vol 36 (12) ◽  
pp. 1345-1352 ◽  
Author(s):  
S. B. Caudill ◽  
F. G. Mixon
Keyword(s):  
Tobit Model

scholarly journals Managerial Ability and R&D Investment: An Empirical Analysis Based on DEA-Tobit Model

2021 ◽  
Vol 235 ◽  
pp. 01069
Author(s):  
Shouchang Liang
Keyword(s):  
Relative Efficiency ◽  
Negative Relationship ◽  
Efficient Frontier ◽  
Discrete Distribution ◽  
Research Literature ◽  
Tobit Model ◽  
Managerial Ability ◽  
Firm Innovation ◽  
The Impact ◽  
D Investment

DEA is a statistical procedure used to evaluate the relative efficiency of separable entities, termed “decision-making units” (DMUs), where each DMU converts certain inputs into outputs. The DEA efficiency methodology can provides an ordinal ranking of relative efficiency compared to the Pareto-efficient frontier, and the widely used efficiency measure require that weights be explicitly set, which is more advantageous than the conventional measures of efficiency. The Tobit model is a dependent variable limited model. Since the efficiency value measured by the DEA model is a truncated discrete distribution value between 0 and 1, the Tobit model can effectively avoid the problems of bias and inconsistency in parameter estimation. Based on this, this paper takes Chinese A-share listed companies from 2008 to 2018 as samples, adopts DEA-Tobit model to measure managerial ability, and studies the impact of managerial ability on firm innovation investment. It is found that managerial ability is negatively correlated with R&D investment. Further research shows that the negative relationship between managerial ability and firm innovation investment is more significant in non-state-owned companies. Transparency of accounting information can alleviate the restraining effect of managers ability on innovation input. This study not only enriches the research literature in the field of managerial ability and firm innovation input, but also has important enlightenment significance on how to improve managerial innovation willingness in reality and further promote firm innovation behavior.

scholarly journals Efisiensi Bank Umum Syariah Di Indonesia Dengan Pendekatan Three Stages Frontier Analysis

2020 ◽  
Vol 8 (2) ◽  
pp. 115-129
Author(s):  
Ibnu Muttaqin ◽  
◽  
Rini Rini ◽  
Alif Ilham Akbar Fatriansyah ◽  
◽  
...  
Keyword(s):  
Commercial Banks ◽  
Banking Industry ◽  
Stochastic Frontier ◽  
Tobit Model ◽  
Islamic Banking ◽  
Frontier Analysis ◽  
Average Efficiency ◽  
Purposive Sampling ◽  
Three Stages

Efficiency is one of the parameters to measure the performance of the banking industry. This paper is using three stages to find out how the conditions of efficiency level of Islamic banking. Frontier and Stochastic Frontier Approaches are used to calculate the efficiency level and then averaged. Last, the determinants of efficiency were conducted by the Tobit Model. The data are 7 Sharia Commercial Banks during the period 2010 to 2017 which are chosen by purposive sampling. The study found the average efficiency level is 83.51% and is classified as less efficient. The Tobit model showed that all of the variables have not significant effect on efficiency level Islamic banking, except the ROA.

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