Limited Dependent Variables, Censored Regression, and Tobit Models

Introduction

Limited Dependent Variables, Censored Regression, and Tobit Models

The LIFEREG procedure in SAS/STAT software fits parametric models to failure time or other kinds of duration data that may be right-, left-, or interval-censored. The models for the response variable consist of a linear effect composed of the exogenous covariables together with a random disturbance term. The distribution of the random disturbance can be taken from a class of distributions that includes the extreme value, normal and logistic distributions and (by using a log transformation) exponential, Weibull, lognormal, loglogistic, and gamma distributions.

While PROC LIFEREG is tailored for survival analysis, the same kinds of censoring arises in econometric data. PROC LIFEREG is a powerful tool for censored regression, including Tobit analysis.

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