Inference in Censored Models with Endogenous Regressors
AbstractThis paper analyzes the linear regression model y = x&bgr;+ε with a conditional median assumption med (ε| z) = 0, where z is a vector of exogenous instrument random variables. We study inference on the parameter &bgr; when y is censored and x is endogenous. We treat the censored model as a model with interval observation on an outcome, thus obtaining an incomplete model with inequality restrictions on conditional median regressions. We analyze the identified features of the model and provide sufficient conditions for point identification of the parameter &bgr;. We use a minimum distance estimator to consistently estimate the identified features of the model. We show that under point identification conditions and additional regularity conditions, the estimator based on inequality restrictions is normal and we derive its asymptotic variance. One can use our setup to treat the identification and estimation of endogenous linear median regression models with no censoring. A Monte Carlo analysis illustrates our estimator in the censored and the uncensored case. Copyright Econometric Society, 2002.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 71 (2003)
Issue (Month): 3 (05)
Other versions of this item:
- Elie Tamer, 2000. "Inference in Censored Models with Endogenous Regressors," Econometric Society World Congress 2000 Contributed Papers 1815, Econometric Society.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
- Vella, Francis & Verbeek, Marno, 1999.
"Two-step estimation of panel data models with censored endogenous variables and selection bias,"
Journal of Econometrics,
Elsevier, vol. 90(2), pages 239-263, June.
- Vella, F. & Verbeek, M.J.C.M., 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Open Access publications from Tilburg University urn:nbn:nl:ui:12-80344, Tilburg University.
- Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-60, November.
- Honore, Bo E, 1992. "Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects," Econometrica, Econometric Society, vol. 60(3), pages 533-65, May.
- Heckman, James J, 1978.
"Dummy Endogenous Variables in a Simultaneous Equation System,"
Econometric Society, vol. 46(4), pages 931-59, July.
- James J. Heckman, 1977. "Dummy Endogenous Variables in a Simultaneous Equation System," NBER Working Papers 0177, National Bureau of Economic Research, Inc.
- James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
- Charles F. Manski & Elie Tamer, 2002. "Inference on Regressions with Interval Data on a Regressor or Outcome," Econometrica, Econometric Society, vol. 70(2), pages 519-546, March.
- Blundell, Richard W & Smith, Richard J, 1989. "Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models," Review of Economic Studies, Wiley Blackwell, vol. 56(1), pages 37-57, January.
- Arabmazar, Abbas & Schmidt, Peter, 1982. "An Investigation of the Robustness of the Tobit Estimator to Non-Normality," Econometrica, Econometric Society, vol. 50(4), pages 1055-63, July.
- Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.