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A Monte Carlo Comparison of Semiparametric Tobit Estimators

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  • Moon, Choon-Geol
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    Abstract

    This paper focuses on a performance comparison of semiparametric Tobit estimators. Firstly, a conditional expectation verison of Horowitz's distribution-free least-squares estimator is proposed, together with a short description of the other estimators considered in the later Monte Carlo experiment. Then, a performance comparison of the following selected estimators is made through a Monte Carlo experiment: the standard Tobit maximum-likelihood estimator, the Buckley-James estimator, Horowitz's distribution-free least-squares estimator, a conditional version of Horowitz's estimator and Powell's least absolute deviations estimator. An empirical example of Engel curve estimation with zero expenditures follows. Copyright 1989 by John Wiley & Sons, Ltd.

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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

    Volume (Year): 4 (1989)
    Issue (Month): 4 (Oct.-Dec.)
    Pages: 361-82

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    Handle: RePEc:jae:japmet:v:4:y:1989:i:4:p:361-82

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    Cited by:
    1. Moshe Buchinsky & Jinyong Hahn, . "Quantile Regression Model with Unknown Censoring," Working Papers _004, University of California at Berkeley, Econometrics Laboratory Software Archive.
    2. Bo E. Honore & Ekaterini Kyriazidou & Christopher Udry, . "Estimation of Type 3 Tobit Models using Symmetric Trimming and Pairwise Comparisons," Home Pages _001, Princeton University, Department of Economics.
    3. Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," STICERD - Econometrics Paper Series /2000/389, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
    5. Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 98(2), pages 283-316, October.
    6. C. Radhakrishna Rao & L. Zhao, 1995. "Recent contributions to censored regression models," Metrika, Springer, vol. 42(1), pages 203-213, December.
    7. Xue, Hong & Mainville, Denise Y. & You, Wen & Nayga, Rodolfo M., Jr., 2009. "Nutrition Knowledge, Sensory Characteristics and Consumers’ Willingness to Pay for Pasture-Fed Beef," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49277, Agricultural and Applied Economics Association.
    8. Arthur Lewbel & Linton, Oliver Linton, 1998. "Nonparametric Censored Regression," Cowles Foundation Discussion Papers 1186, Cowles Foundation for Research in Economics, Yale University.
    9. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
    10. Moshe Buchinsky & Jinyong Hahn, 1995. "Quantile Regression Model with Unknown Censoring Point," Cowles Foundation Discussion Papers 1096, Cowles Foundation for Research in Economics, Yale University.
    11. Steven Caudill, 2012. "A partially adaptive estimator for the censored regression model based on a mixture of normal distributions," Statistical Methods and Applications, Springer, vol. 21(2), pages 121-137, June.
    12. Honore, Bo & Khan, Shakeeb & Powell, James L., 2002. "Quantile regression under random censoring," Journal of Econometrics, Elsevier, vol. 109(1), pages 67-105, July.
    13. Maria Karlsson & Thomas Laitila, 2014. "Finite mixture modeling of censored regression models," Statistical Papers, Springer, vol. 55(3), pages 627-642, August.

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