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What you always wanted to know about censoring but never dared to ask

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Author Info
Wendelin Schnedler ()

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Abstract

This article considers a wide class of censoring problems and presents a construction rule for an objective function. This objective function generalises the orginary likelihood as well as particular "likelihoods" used for estimation in several censoring models. Under regularity conditions the maximiser of this generalised likelihood has all the properties of a maximum likelihood estimator: it is consistent and the respective root-n estimator is asymptotically efficient and normally distributed.

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File URL: http://www.bris.ac.uk/Depts/CMPO/workingpapers/wp82.pdf
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Publisher Info
Paper provided by Department of Economics, University of Bristol, UK in its series The Centre for Market and Public Organisation with number 03/082.

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Length: 25 pages
Date of creation: Jul 2003
Date of revision:
Handle: RePEc:bri:cmpowp:03/082

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Related research
Keywords: censored variables m-estimation multivariate methods random censoring generalised likelihood

Other versions of this item:

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

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.
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