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arXiv · 2502.03600

Type 2 Tobit Sample Selection Models with Bayesian Additive Regression Trees

Eoghan O'Neill
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Abstract

This paper introduces Type 2 Tobit Bayesian Additive Regression Trees (TOBART-2). BART can produce accurate individual-specific treatment effect estimates. However, in practice estimates are often biased by sample selection. We extend the Type 2 Tobit sample selection model to account for nonlinearities and model uncertainty by including sums of trees in both the selection and outcome equations. A Dirichlet Process Mixture distribution for the error terms allows for departure from the assumption of bivariate normally distributed errors. Soft trees and a Dirichlet prior on splitting probabilities improve modeling of smooth and sparse data generating processes. We include a simulation study and an application to the RAND Health Insurance Experiment dataset.

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Eoghan O'Neill. 2025-02-05. Type 2 Tobit Sample Selection Models with Bayesian Additive Regression Trees. https://arxiv.org/abs/2502.03600

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