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Truncated Regression In Empirical Estimation

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Author Info
Marsh, Thomas L.
Mittelhammer, Ron C.

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Abstract

In this paper we illustrate the use of alternative truncated regression estimators for the general linear model. These include variations of maximum likelihood, Bayesian, and maximum entropyestimators in which the error distributions are doubly truncated. To evaluate the performance of the estimators (e.g., efficiency) for a range of sample sizes, Monte Carlo sampling experiments are performed. We then apply each estimator to a factor demand equation for wheat-by-class.

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Publisher Info
Paper provided by Western Agricultural Economics Association in its series 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia with number 36391.

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Date of creation: 2000
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Handle: RePEc:ags:waeava:36391

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Related research
Keywords: doubly truncated samples; Bayesian regression; maximum entropy; wheat-by-class; Research Methods/ Statistical Methods;

References listed on IDEAS
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  1. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January. [Downloadable!] (restricted)
  2. Geweke, John, 1989. "Exact predictive densities for linear models with arch disturbances," Journal of Econometrics, Elsevier, vol. 40(1), pages 63-86, January. [Downloadable!] (restricted)
  3. Alice Nakamura & Masao Nakamura, 1983. "Part-Time and Full-Time Work Behaviour of Married Women: A Model with a Doubly Truncated Dependent Variable," Canadian Journal of Economics, Canadian Economics Association, vol. 16(2), pages 229-57, May. [Downloadable!] (restricted)
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This page was last updated on 2009-12-11.

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