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A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators

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Author Info

  • Insik Min

    ()
    (Department of Economics, Texas A&M University)

  • Sheng jang Sheu

    (Department of Economics, University of Western Ontario)

  • Zijun Wang

    (Private Enterprise Research Center, Texas A&M University)

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    Abstract

    This paper compares recently developed semiparametric estimators of Type-3 Tobit model using Monte Carlo simulations. In particular, we examine the finite sample performance of the recently proposed method by Li and Wooldridge and compare it to some alternative semiparametric estimators. Simulation results indicated that Li and Wooldridge (2002) estimator under the independence restriction compares well relative to other alternative estimators, especially when the sample size is small or the error distribution has a thick tail.

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    File URL: http://www.aeconf.net/Articles/May2003/aef040107.pdf
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    Bibliographic Info

    Article provided by Society for AEF in its journal Annals of Economics and Finance.

    Volume (Year): 4 (2003)
    Issue (Month): 1 (May)
    Pages: 125-136

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    Handle: RePEc:cuf:journl:y:2003:v:4:i:1:p:125-136

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    Related research

    Keywords: Type-3 Tobit model; Semiparametric estimation; Monte Carlo simulation;

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    References

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    1. McDonald, James B. & Xu, Yexiao J., 1996. "A comparison of semi-parametric and partially adaptive estimators of the censored regression model with possibly skewed and leptokurtic error distributions," Economics Letters, Elsevier, vol. 51(2), pages 153-159, May.
    2. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    3. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January.
    4. Wooldridge, Jeffrey M, 1994. "A Simple Specification Test for the Predictive Ability of Transformation Models," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 59-65, February.
    5. Honore, Bo E. & Kyriazidou, Ekaterini & Udry, Christopher, 1997. "Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 107-128.
    6. Lee, Lung-fei, 1994. "Semiparametric two-stage estimation of sample selection models subject to Tobit-type selection rules," Journal of Econometrics, Elsevier, vol. 61(2), pages 305-344, April.
    7. Greene, William, 1998. "Sample selection in credit-scoring models1," Japan and the World Economy, Elsevier, vol. 10(3), pages 299-316, July.
    8. Michael Gerfin, 1993. "Parametric and Semiparametric Estimation of the Binary Response Model of Labor Market Participation," Diskussionsschriften dp9315, Universitaet Bern, Departement Volkswirtschaft.
    9. Li, Qi & Wooldridge, Jeffrey M., 2002. "Semiparametric Estimation Of Partially Linear Models For Dependent Data With Generated Regressors," Econometric Theory, Cambridge University Press, vol. 18(03), pages 625-645, June.
    10. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521424318, November.
    11. Connelly, Rachel, 1992. "The Effect of Child Care Costs on Married Women's Labor Force Participation," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 83-90, February.
    12. Hill, M Anne, 1983. "Female Labor Force Participation in Developing and Developed Countries-Consideration of the Informal Sector," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 459-68, August.
    13. Van de Ven, Wynand P. M. M. & Van Praag, Bernard M. S., 1981. "The demand for deductibles in private health insurance : A probit model with sample selection," Journal of Econometrics, Elsevier, vol. 17(2), pages 229-252, November.
    14. Christofides, Louis N, et al, 2003. "Recent Two-Stage Sample Selection Procedures with an Application to the Gender Wage Gap," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 396-405, July.
    15. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521370905, November.
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    Cited by:
    1. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.

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