We propose Multivariate Tobit models with a factor structure on the covariance matrix. Such models are particularly useful in the exploratory analysis of multivariate censored data and the identification of latent variables from behavioral data. The factor structure provides a parsimonious...

We study a simple exogeneity test in count data models with possibly endogenous multinomial treatment. The test is based on Two Stage Residual Inclusion (2SRI). Results from a broad Monte Carlo study provide novel evidence on important features of this approach in nonlinear settings. We find...

We develop a general class of factor-analytic models for the analysis of multivariate (truncated) count data. Dependencies in multivariate counts are of interest in many applications, but few approaches have been proposed for their analysis. Our model class allows for a variety of distributions...

Excess zeros are encountered in many empirical count data applications. We provide a new explanation of extra zeros, related to the underlying stochastic process that generates events. The process has two rates, a lower rate until the first event, and a higher one thereafter. We derive the...

Interaction effects capture the impact of one explanatory variable x1 on the marginal effect of another explanatory variable x2. To explore interaction effects, so-called interaction terms x1x2 are typically included in estimation specifications. While in linear models the effect of a marginal...

We make a methodological contribution to the latent class literature by re-examining censored variable analysis within a panel data context. Specifically, we extend the standard latent class tobit panel approach to include random effects, to allow for heteroskedasticity and to incorporate the...

Generalized additive models for location, scale and shape define a flexible, semi-parametric class of regression models for analyzing insurance data in which the exponential family assumption for the response is relaxed. This approach allows the actuary to include risk factors not only in the...