Likelihood estimation for censored random vectors

Wendelin Schnedler

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).

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Year of publication:	February 24, 2005
Authors:	Schnedler, Wendelin
Publisher:	Heidelberg : University of Heidelberg, Department of Economics
Subject:	Censored variables \| Limited dependent variables \| Multivariate methods \| Random censoring \| Likelihood \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Theorie \| Theory

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Extent:	1 Online-Ressource (circa 27 Seiten)
Series:	Discussion paper series / University of Heidelberg, Department of Economics. - Heidelberg : [Verlag nicht ermittelbar], ZDB-ID 2217357-2. - Vol. no. 417
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/127228 [Handle]
Classification:	C13 - Estimation ; C24 - Truncated and Censored Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003245917