Two-limit Tobit Model Research Articles

The estimation of transaction costs in arbitrage models

This paper develops a methodology to estimate transaction costs in arbitrage models. The methodology consists of the estimation of a generalized two-limit Tobit model with stochastic limits, and it provides the distribution of transaction costs and the probabilities of observing arbitrage in either direction. This methodology is applied to wholesale gasoline arbitrage among three cities in the Northeastern United States. Arbitrage costs are found to be relatively small.

Derived Demand Estimation with Survey Experiments: Commercial Electric Vehicles

In this paper the author examines the demand for a hypothetical input, electric over-the-road vehicles, in the commercial sector using data from a survey experiment. This experiment is designed to allow the estimation of theoretically plausible, derived demand functions from either the Translog or the CES production functions. A heteroscedasticity-corrected, two-limit Tobit model is developed and estimated. The results provide evidence of considerable adaptability to new technologies and price structures on the part of firms. They evidently would be willing to cope with the limited traveling range of electric vehicles if these vehicles were able to provide a less costly means of doing business. Copyright 1987 by MIT Press.