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
Authors:	Schnedler, Wendelin
Publisher:	Heidelberg : University of Heidelberg, Department of Economics
Subject:	Schätztheorie \| Regressionsanalyse \| Theorie \| Censored variables \| Limited dependent variables \| Multivariate methods \| Random censoring \| Likelihood

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Series:	Discussion Paper Series ; 417
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	505869306 [GVK] hdl:10419/127228 [Handle] RePEc:awi:wpaper:0417 [RePEc]
Classification:	C13 - Estimation ; C24 - Truncated and Censored Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011422120