search query: @author Wang, L. / total: 10
reference: 6 / 10
| Author: | Wang, L. |
| Title: | Estimation of censored linear errors-in-variables models |
| Journal: | Journal of Econometrics
1998 : JUN, VOL. 84:2, p. 383-400 |
| Index terms: | MODELS MEASUREMENT ESTIMATION |
| Language: | eng |
| Abstract: | The paper deals with a linear errors-in-variables model where the dependent variable is censored. A two-step procedure is proposed to estimate the model and the corresponding asymptotic covariance matrices are derived. The framework covers the usual (error-free) Tobit model as a special case. It is shown that, under normality and a certain identifying condition, this model can be uniquely reduced to an error-free censored regression model and, hence, the existing estimators for the Tobit model can be used to obtain estimators for this model. In particular, the maximum-likelihood estimator is derived in this way. The small-sample behavior of the two estimators and their sensitivities to misspecified identifying information are studied through Monte-Carlo simulations. |
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