Likelihood Estimation for Censored Random Vectors

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:	2005-02
Authors:	Schnedler, Wendelin
Institutions:	Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
Subject:	Censored variables \| Limited dependent variables \| Multivariate methods \| Random censoring \| Likelihood

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0417 25 pages
Classification:	C13 - Estimation ; C24 - Truncated and Censored Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005150950