The Tobit model with a non-zero threshold
AbstractThe standard Tobit maximum likelihood estimator under zero censoring threshold produces inconsistent parameter estimates, when the constant censoring threshold γ is non-zero and unknown. Unfortunately, the recording of a zero rather than the actual censoring threshold value is typical of economic data. Non-trivial minimum purchase prices for most goods, fixed cost for doing business or trading, social customs such as those involving charitable donations, and informal administrative recording practices represent common examples of non-zero constant censoring threshold where the constant threshold is not readily available to the econometrician. Monte Carlo results show that this bias can be extremely large in practice. A new estimator is proposed to estimate the unknown censoring threshold. It is shown that the estimator is superconsistent and follows an exponential distribution in large samples. Due to the superconsistency, the asymptotic distribution of the maximum likelihood estimator of other parameters is not affected by the estimation uncertainty of the censoring threshold. Copyright Royal Economic Society 2007
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 Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 10 (2007)
Issue (Month): 3 (November)
Contact details of provider:
Postal: Office of the Secretary-General, School of Economics and Finance, University of St. Andrews, St. Andrews, Fife, KY16 9AL, UK
Phone: +44 1334 462479
Web page: http://www.res.org.uk/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Emin M. Dinlersoz & Mehmet Yorukoglu, 2012.
"Information and Industry Dynamics,"
American Economic Review,
American Economic Association, vol. 102(2), pages 884-913, April.
- I. Bateman & R. Brouwer & S. Ferrini & M. Schaafsma & D. Barton & A. Dubgaard & B. Hasler & S. Hime & I. Liekens & S. Navrud & L. De Nocker & R. Ščeponavičiūtė & D. Semėnienė, 2011. "Making Benefit Transfers Work: Deriving and Testing Principles for Value Transfers for Similar and Dissimilar Sites Using a Case Study of the Non-Market Benefits of Water Quality Improvements Across E," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 50(3), pages 365-387, November.
- Cory Koedel & Julian Betts, 2009.
"Value-Added to What? How a Ceiling in the Testing Instrument Influences Value-Added Estimation,"
NBER Working Papers
14778, National Bureau of Economic Research, Inc.
- Cory Koedel & Julian Betts, 2010. "Value Added to What? How a Ceiling in the Testing Instrument Influences Value-Added Estimation," Education Finance and Policy, MIT Press, vol. 5(1), pages 54-81, January.
- Cory Koedel & Julian Betts, 2008. "Value-Added to What? How a Ceiling in the Testing Instrument Influences Value-Added Estimation," Working Papers 0807, Department of Economics, University of Missouri.
- Darius Lakdawalla & Wesley Yin, 2009. "Insurer Bargaining and Negotiated Drug Prices in Medicare Part D," NBER Working Papers 15330, National Bureau of Economic Research, Inc.
- Kim, Younhee & Yang, Bongmin, 2011. "Relationship between catastrophic health expenditures and household incomes and expenditure patterns in South Korea," Health Policy, Elsevier, vol. 100(2), pages 239-246.
- Jakob R. Munch & Daniel X., 2008. "Decomposing Firm-level Sales Variation," EPRU Working Paper Series 2009-05, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Jun 2009.
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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.