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New Taxonomies for Limited Dependent Variables Models

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  • Biørn, Erik
  • Wangen, Knut R.

Abstract

We establish a `map' for describing a wide class of Limited Dependent Variables models much used in the econometric literature. The classification system, or language, is an extension of Amemiya's typology for tobit models and is intended to facilitate communication among researchers. The class is defined in relation to distributions of latent variables of an arbitrarily high dimension; the region of support can be divided into an arbitrary number of subsets, and the observation rules in each subset can be any combination of the observed, censored, and missing status. Consistent labeling is suggested at different levels of detail.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41461.

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Date of creation: 17 Jul 2012
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Handle: RePEc:pra:mprapa:41461

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Keywords: Limited dependent variables; Latent variables; Censoring; Truncation; Missing observations;

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  1. Li, Phillip, 2011. "Estimation of sample selection models with two selection mechanisms," Computational Statistics & Data Analysis, Elsevier, vol. 55(2), pages 1099-1108, February.
  2. Dagenais, Marcel G, 1975. "Application of a Threshold Regression Model to Household Purchases of Automobiles," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 275-85, August.
  3. Nelson, Forrest D., 1977. "Censored regression models with unobserved, stochastic censoring thresholds," Journal of Econometrics, Elsevier, vol. 6(3), pages 309-327, November.
  4. Wendelin Schnedler, 2005. "Likelihood Estimation for Censored Random Vectors," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 195-217.
  5. Ott Toomet & Arne Henningsen, . "Sample Selection Models in R: Package sampleSelection," Journal of Statistical Software, American Statistical Association, vol. 27(i07).
  6. Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61.
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