Likelihood Estimation for Censored Random Vectors
AbstractThis 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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Bibliographic InfoPaper provided by University of Heidelberg, Department of Economics in its series Working Papers with number 0417.
Length: 25 pages
Date of creation: Feb 2005
Date of revision: Feb 2005
Censored variables; Limited dependent variables; Multivariate methods; Random censoring; Likelihood;
Other versions of this item:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
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