Finite mixture modeling of censored regression models

A finite mixture of Tobit models is suggested for estimation of regression models with a censored response variable. A mixture of models is not primarily adapted due to a true component structure in the population; the flexibility of the mixture is suggested as a way of avoiding non-robust parametrically specified models. The new estimator has several interesting features. One is its potential to yield valid estimates in cases with a high degree of censoring. The estimator is in a Monte Carlo simulation compared with earlier suggestions of estimators based on semi-parametric censored regression models. Simulation results are partly in favor of the proposed estimator and indicate potentials for further improvements.