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Likelihood Estimation for Censored Random Vectors

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  • Wendelin Schnedler

Abstract

This article shows how to construct a likelihood for a general class of censoring problems. This likelihood is proven to be valid, i.e. its maximizer is consistent and the respective root-n estimator is asymptotically efficient and normally distributed under regularity conditions. The method generalizes ordinary maximum likelihood estimation as well as several standard estimators for censoring problems (e.g. tobit type I-tobit type V).

Suggested Citation

  • Wendelin Schnedler, 2005. "Likelihood Estimation for Censored Random Vectors," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 195-217.
    • Handle: RePEc:taf:emetrv:v:24:y:2005:i:2:p:195-217
    DOI: 10.1081/ETC-200067925
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    Cited by:

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    2. Suiyao Chen & Nan Kong & Xuxue Sun & Hongdao Meng & Mingyang Li, 2019. "Claims data-driven modeling of hospital time-to-readmission risk with latent heterogeneity," Health Care Management Science, Springer, vol. 22(1), pages 156-179, March.
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    4. Xue, Hong & Mainville, Denise Y. & You, Wen & Nayga, Rodolfo M., Jr., 2009. "Nutrition Knowledge, Sensory Characteristics and Consumers’ Willingness to Pay for Pasture-Fed Beef," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49277, Agricultural and Applied Economics Association.
    5. Getachew A. Dagne, 2016. "A growth mixture Tobit model: application to AIDS studies," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(7), pages 1174-1185, July.
    6. Servtka, Maros, 2009. "Separating reputation, social influence, and identification effects in a dictator game," European Economic Review, Elsevier, vol. 53(2), pages 197-209, February.
    7. Sabourin, Anne, 2015. "Semi-parametric modeling of excesses above high multivariate thresholds with censored data," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 126-146.
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    9. Biørn, Erik & Wangen, Knut R., 2012. "New Taxonomies for Limited Dependent Variables Models," MPRA Paper 41461, University Library of Munich, Germany.
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    11. Iyad Dhaoui, 2019. "Healthcare system efficiency and its determinants: A two-stage Data Envelopment Analysis (DEA) from MENA countries," Working Papers 1320, Economic Research Forum, revised 21 Aug 2019.
    12. Antonio F. Galvao & Carlos Lamarche & Luiz Renato Lima, 2013. "Estimation of Censored Quantile Regression for Panel Data With Fixed Effects," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(503), pages 1075-1089, September.
    13. Tingting Yu & Lang Wu & Peter Gilbert, 2019. "New approaches for censored longitudinal data in joint modelling of longitudinal and survival data, with application to HIV vaccine studies," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 25(2), pages 229-258, April.
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    More about this item

    Keywords

    Censored variables; Likelihood; Limited dependent variables; Multivariate methods; Random censoring;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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