CIRJE-F-594. Omori, Yasuhiro and Koji Miyawaki, "Tobit Model with Covariate Dependent Thresholds", October 2008.

Tobit models are extended to allow threshold values which depend on individuals' characteristics. In such models, the parameters are subject to as many inequality constraints as the number of observations, and the maximum likelihood estimation which requires the numerical maximisation of the likelihood is often difficult to be implemented. Using a Bayesian approach, a Gibbs sampler algorithm is proposed and, further, the convergence to the posterior distribution is accelerated by introducing an additional scale transformation step. The procedure is illustrated using the simulated data, wage data and prime rate changes data.