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Likelihood Estimation for Censored Random Vectors

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Author Info
Wendelin Schnedler () (University of Heidelberg, Department of Economics)

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Abstract

This article shows how to construct a likelihood for a general class of censoring problems. This likelihood is proven to be valid, i.e. its maximiser is consistent and the respective root-n estimator is asymptotically efficient and normally distributed under regularity conditions. The method generalises ordinary maximum likelihood estimation as well as several standard estimators for censoring problems (e.g. tobit type I - tobit type V).

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File URL: http://www.awi.uni-heidelberg.de/with2/Discussion%20papers/papers_2003_2005/dp417.pdf
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Publisher Info
Paper provided by University of Heidelberg, Department of Economics in its series Working Papers with number 0417.

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Length: 25 pages
Date of creation: Feb 2005
Date of revision: Feb 2005
Handle: RePEc:awi:wpaper:0417

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Related research
Keywords: Censored variables; Limited dependent variables; Multivariate methods; Random censoring; Likelihood;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models

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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.:
  1. Nelson, Forrest D., 1977. "Censored regression models with unobserved, stochastic censoring thresholds," Journal of Econometrics, Elsevier, vol. 6(3), pages 309-327, November. [Downloadable!] (restricted)
  2. Amemiya, Takeshi, 1973. "Regression Analysis when the Dependent Variable is Truncated Normal," Econometrica, Econometric Society, vol. 41(6), pages 997-1016, November. [Downloadable!] (restricted)
  3. Attanasio, Orazio P, 2000. "Consumer Durables and Inertial Behaviour: Estimation and Aggregation of (S, s) Rules for Automobile Purchases," Review of Economic Studies, Blackwell Publishing, vol. 67(4), pages 667-96, October.
  4. Ferrall, Christopher & Shearer, Bruce, 1999. "Incentives and Transactions Costs within the Firm: Estimating an Agency Model Using Payroll Records," Review of Economic Studies, Blackwell Publishing, vol. 66(2), pages 309-38, April. [Downloadable!] (restricted)
  5. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation, Yale University. [Downloadable!]
  6. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32. [Downloadable!] (restricted)
  7. Donald, S.G. & Paarsch, H.J., 1992. "Maximum Likelihood Estimation in Empirical Models of Auctions," UWO Department of Economics Working Papers 9211, University of Western Ontario, Department of Economics.
  8. Donald, Stephen G & Paarsch, Harry J, 1993. "Piecewise Pseudo-maximum Likelihood Estimation in Empirical Models of Auctions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 121-48, February. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Xue, Hong & Mainville, Denise & 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. [Downloadable!]
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