Advanced Search
MyIDEAS: Login to save this paper or follow this series

Estimators and inference in a censored regression model with endogenous covariates

Contents:

Author Info

  • Mitali Das

    ()
    (Columbia University - Department of Economics)

Abstract

This paper derives the asymptotic distribution theory for censored regression models with endogenous covariates under no parametric assumptions on the disturbance distribution, extending the modeling framework of Powell (1986). While it is well known that under some restrictions the use of reduced form residuals will lead to consistent estimators of the structural parameters, derivation of the asymptotic distribution theory that is essential for inference and the usual hypothesis testing is not obvious for this model. The problem arises because the structural model generates a set of moment restrictions that are discontinuous in the parameters, making standard methods inapplicable. This paper illustrates that the techniques in Pakes and Pollard (1989) can be adapted to this model by treating the multi-stage problem as simultaneously satisfying the joint vector of population moment restrictions, and partitioning the joint asymptotic covariance matrix appropriately. A Monte Carlo study illustrates the high practical power of the estimators, and shows that they will provide a useful alternative to methods that depend on Gaussian or other specified distributions.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.econ.columbia.edu/RePEc/pdf/DP0102-61.pdf
Our checks indicate that this address may not be valid because: 404 Not Found (http://www.econ.columbia.edu/RePEc/pdf/DP0102-61.pdf [301 Moved Permanently]--> http://econ.columbia.edu/RePEc/pdf/DP0102-61.pdf). If this is indeed the case, please notify (Discussion Paper Coordinator)
Download Restriction: no

Bibliographic Info

Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0102-61.

as in new window
Length: 35 pages
Date of creation: 2002
Date of revision:
Handle: RePEc:clu:wpaper:0102-61

Contact details of provider:
Postal: 1022 International Affairs Building, 420 West 118th Street, New York, NY 10027
Phone: (212) 854-3680
Fax: (212) 854-8059
Web page: http://www.econ.columbia.edu/
More information through EDIRC

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:clu:wpaper:0102-61. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Discussion Paper Coordinator).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.