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Interview Question


From the sample of loans at origination a subsample request

  and receive help for loan modification. We only have income data on those that qualify for the modification but don't know income values for those that didn't apply or those that applied but didn't qualify. How do we determine full sample of who is eligible to receive when we can't see the income for everyone?
tobit, censored estimation

Interview Answer

1 Answer


This is an issue of having censored data. Typically with this kind of data, the usual strategy is to estimate a Tobit Model which handles censored data. Keep in mind though Tobit has strong distributional assumptions and you must be careful about the inferences made.

Interview Candidate on Nov 1, 2012

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