Small sample performance of parameter estimators for tobit modesl with serial correlation*

DOI10.1080/00949658908811183MaRDI QIDQ5750132zbMATH OpenOpenAlexFDO

Authors Marcel G. Dagenais

Publication date 1989

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658908811183

zbMATH Keywords

Monte CarloTobit modelautocorrelationautocorrelated errorscensored regression modelspseudolikelihood estimators

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Recent contributions to censored regression models
• Symmetrically Trimmed Least Squares Estimation for Tobit Models
• Estimation of dynamic and ARCH Tobit models
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• Estimation of tobit-type models with individual specific effects

Cites work

• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Estimation of Relationships for Limited Dependent Variables
• On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
• Regression Analsis with Censored Autocorrelated Data
• Tests for Serial Defendence in Limited Dependent Variable Models
• The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model

Cited in

(1)

• On estimation for censored autoregressive data

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