Exploratory Tobit Factor Analysis for Multivariate Censored Data

Wagner A. Kamakura & Michel Wedel (2001): Exploratory Tobit Factor Analysis for Multivariate Censored Data, Multivariate Behavioral Research, 36:1, 53-82

32 Pages Posted: 14 Feb 2014

See all articles by Wagner A. Kamakura

Wagner A. Kamakura

Rice University

Michel Wedel

University of Maryland - Robert H. Smith School of Business, Marketing Department; University of Groningen - Faculty of Economics and Business

Date Written: 2001

Abstract

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 representation of the censored data and reduces the dimensionality of the integration required in evaluating the likelihood. In addition, the factor model parameters lend themselves to substantive interpretation and graphical display. The models are estimated with simulated maximum likelihood. Applications to the prescription of pharmaceutical products and the analysis of multi-category buying behavior are provided.

Suggested Citation

Kamakura, Wagner A. and Wedel, Michel, Exploratory Tobit Factor Analysis for Multivariate Censored Data (2001). Wagner A. Kamakura & Michel Wedel (2001): Exploratory Tobit Factor Analysis for Multivariate Censored Data, Multivariate Behavioral Research, 36:1, 53-82. Available at SSRN: https://ssrn.com/abstract=2395375

Wagner A. Kamakura (Contact Author)

Rice University ( email )

6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States
(713) 348-6307 (Phone)

Michel Wedel

University of Maryland - Robert H. Smith School of Business, Marketing Department ( email )

College Park, MD 20742
United States
301.405.2162 (Phone)
301.405.0146 (Fax)

HOME PAGE: http://www.rhsmith.umd.edu/marketing/faculty/wedel.html

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

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