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Likelihood Estimation for Censored Random Vectors

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  • Wendelin Schnedler

    () (University of Heidelberg, Department of Economics)

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 maximiser is consistent and the respective root-n estimator is asymptotically efficient and normally distributed under regularity conditions. The method generalises 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," Working Papers 0417, University of Heidelberg, Department of Economics, revised Feb 2005.
  • Handle: RePEc:awi:wpaper:0417
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    File URL: http://www.uni-heidelberg.de/md/awi/forschung/dp417.pdf
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    References listed on IDEAS

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    1. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
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    5. Christopher Ferrall & Bruce Shearer, 1999. "Incentives and Transactions Costs Within the Firm: Estimating an Agency Model Using Payroll Records," Review of Economic Studies, Oxford University Press, vol. 66(2), pages 309-338.
    6. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
    7. Donald, S.G. & Paarsch, H.J., 1992. "Maximum Likelihood Estimation in Empirical Models of Auctions," UWO Department of Economics Working Papers 9211, University of Western Ontario, Department of Economics.
    8. Donald, Stephen G & Paarsch, Harry J, 1993. "Piecewise Pseudo-maximum Likelihood Estimation in Empirical Models of Auctions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 121-148, February.
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    Cited by:

    1. Mauricio Villamizar, 2014. "Identifying the Effects of Simultaneous Monetary Policy Shocks. Fear of Floating under Inflation targeting," Borradores de Economia 835, Banco de la Republica de Colombia.
    2. Qian, Hang, 2009. "Estimating SUR Tobit Model while errors are gaussian scale mixtures: with an application to high frequency financial data," MPRA Paper 31509, University Library of Munich, Germany.
    3. 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.
    4. Mònica González & Germà Coenders & Marc Saez & Ferran Casas, 2010. "Non-linearity, Complexity and Limited Measurement in the Relationship Between Satisfaction with Specific Life Domains and Satisfaction with Life as a Whole," Journal of Happiness Studies, Springer, vol. 11(3), pages 335-352, June.
    5. Mauricio Villamizar-Villegas, 2016. "Identifying The Effects Of Simultaneous Monetary Policy Shocks," Contemporary Economic Policy, Western Economic Association International, vol. 34(2), pages 268-296, April.
    6. Getachew A. Dagne, 2016. "Bayesian segmental growth mixture Tobit models with skew distributions," Computational Statistics, Springer, vol. 31(1), pages 121-137, March.
    7. Biørn, Erik & Wangen, Knut R., 2012. "New Taxonomies for Limited Dependent Variables Models," MPRA Paper 41461, University Library of Munich, Germany.
    8. 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.
    9. 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.

    More about this item

    Keywords

    Censored variables; Limited dependent variables; Multivariate methods; Random censoring; Likelihood;

    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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