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On the Identification of the Censored Regression Model with a Stochastic and Unobserved Treshold

Author

Listed:
  • Geert Ridder

    (Vrije Universiteit Amsterdam)

  • Kees van Montfort

    (Vrije Universiteit Amsterdam)

Abstract

We show that a sufficient condition for the identification ofall parameters of the censored regression model with astochastic and unobserved threshold is that the errors are jointlynormally distributed. Exclusion restrictions are not needed.

Suggested Citation

  • Geert Ridder & Kees van Montfort, 1998. "On the Identification of the Censored Regression Model with a Stochastic and Unobserved Treshold," Tinbergen Institute Discussion Papers 98-034/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:19980034
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    References listed on IDEAS

    as
    1. Nelson, Forrest D., 1977. "Censored regression models with unobserved, stochastic censoring thresholds," Journal of Econometrics, Elsevier, vol. 6(3), pages 309-327, November.
    2. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-591, May.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models

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