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A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators

Author

Listed:
  • Insik Min

    () (Department of Economics, Texas A&M University)

  • Sheng jang Sheu

    (Department of Economics, University of Western Ontario)

  • Zijun Wang

    (Private Enterprise Research Center, Texas A&M University)

Abstract

This paper compares recently developed semiparametric estimators of Type-3 Tobit model using Monte Carlo simulations. In particular, we examine the finite sample performance of the recently proposed method by Li and Wooldridge and compare it to some alternative semiparametric estimators. Simulation results indicated that Li and Wooldridge (2002) estimator under the independence restriction compares well relative to other alternative estimators, especially when the sample size is small or the error distribution has a thick tail.

Suggested Citation

  • Insik Min & Sheng jang Sheu & Zijun Wang, 2003. "A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 125-136, May.
  • Handle: RePEc:cuf:journl:y:2003:v:4:i:1:p:125-136
    as

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    References listed on IDEAS

    as
    1. Honore, Bo E. & Kyriazidou, Ekaterini & Udry, Christopher, 1997. "Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 107-128.
    2. McDonald, James B. & Xu, Yexiao J., 1996. "A comparison of semi-parametric and partially adaptive estimators of the censored regression model with possibly skewed and leptokurtic error distributions," Economics Letters, Elsevier, vol. 51(2), pages 153-159, May.
    3. Wooldridge, Jeffrey M, 1994. "A Simple Specification Test for the Predictive Ability of Transformation Models," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 59-65, February.
    4. Hill, M Anne, 1983. "Female Labor Force Participation in Developing and Developed Countries-Consideration of the Informal Sector," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 459-468, August.
    5. Christofides, Louis N, et al, 2003. "Recent Two-Stage Sample Selection Procedures with an Application to the Gender Wage Gap," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 396-405, July.
    6. Greene, William, 1998. "Sample selection in credit-scoring models1," Japan and the World Economy, Elsevier, vol. 10(3), pages 299-316, July.
    7. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    8. Lee, Lung-fei, 1994. "Semiparametric two-stage estimation of sample selection models subject to Tobit-type selection rules," Journal of Econometrics, Elsevier, vol. 61(2), pages 305-344, April.
    9. Van de Ven, Wynand P. M. M. & Van Praag, Bernard M. S., 1981. "The demand for deductibles in private health insurance : A probit model with sample selection," Journal of Econometrics, Elsevier, vol. 17(2), pages 229-252, November.
    10. Gerfin, Michael, 1996. "Parametric and Semi-parametric Estimation of the Binary Response Model of Labor Market Participation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 321-339, May-June.
    11. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
    12. Li, Qi & Wooldridge, Jeffrey M., 2002. "Semiparametric Estimation Of Partially Linear Models For Dependent Data With Generated Regressors," Econometric Theory, Cambridge University Press, vol. 18(03), pages 625-645, June.
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    Citations

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    Cited by:

    1. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355, December.
    2. Zhou, Xianbo & Pan, Zhewen, 2015. "Two-step semiparametric estimation of the Type-3 Tobit model," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 96-105.

    More about this item

    Keywords

    Type-3 Tobit model; Semiparametric estimation; Monte Carlo simulation;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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