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 maximizer is consistent and the respective root-n estimator is asymptotically efficient and normally distributed under regularity conditions. The method generalizes 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
Authors:	Schnedler, Wendelin
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 24.2005, 2, p. 195-217
Publisher:	Taylor & Francis Journals
Subject:	Censored variables \| Likelihood \| Limited dependent variables \| Multivariate methods \| Random censoring

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009228513