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A monte carlo analysis of the type II tobit maximum likelihood estimator when the true model is the type I tobit model

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  • Kazumitsu Nawata

    (University of Tokyo)

Abstract

Type I (censored regression) and Type II Tobit (sample selection) models are widely used in the various fields of economics. The Type I Tobit model is a special case of the Type II Tobit model. However, the dimension of the error terms decreases and the distribution of the error terms degenerates in the Type I Tobit Model. Therefore, we cannot use the standard asymptotic theorems for the Type II Tobit Maximum Likelihood Estimator (MLE) when the sample is obtained from the Type I Tobit model. Results of Monte Carlo experiments show strange behavior that has never been reported before for the Type II MLE.

Suggested Citation

  • Kazumitsu Nawata, 2007. "A monte carlo analysis of the type II tobit maximum likelihood estimator when the true model is the type I tobit model," Economics Bulletin, AccessEcon, vol. 3(54), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-07c20123
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    References listed on IDEAS

    as
    1. Nawata, Kazumitsu, 1994. "Estimation of sample selection bias models by the maximum likelihood estimator and Heckman's two-step estimator," Economics Letters, Elsevier, vol. 45(1), pages 33-40, May.
    2. Andrews, Donald W K, 2001. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
    3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    5. Kazumitsu Nawata & Michael McAleer, 2001. "Size Characteristics Of Tests For Sample Selection Bias: A Monte Carlo Comparison And Empirical Example," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 105-112.
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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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