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