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What You Always Wanted to Know About Censoring But Never Dared to Ask Parameter Estimation for Censored Random Vectors

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Author Info
Schnedler, Wendelin () (CMPO, University of Bristol and IZA Bonn)

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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 ordinary 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: ftp://repec.iza.org/RePEc/Discussionpaper/dp837.pdf
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Publisher Info
Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 837.

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Length: 28 pages
Date of creation: Jul 2003
Date of revision:
Handle: RePEc:iza:izadps:dp837

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

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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This page was last updated on 2008-8-18.

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