Two-Stage Estimation of Limited Dependent Variable Models With Errors-in-Variables  

Oleh:

Liqun, Wang ; Cheng, Hsiao

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 2 (2007), page 426–438.
Topik: estimation; censored regression; errors in variables; instrumental variables; limited dependent variables; measurement errors; minimum distance estimation; tobit model; truncated outcome
Fulltext: 426.pdf (479.36KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper deals with censored or truncated regression models where the explanatory variables are measured with additive errors. We propose a two - stage estimation procedure that combines the instrumental variable method and the minimum distance estimation. This approach produces consistent and asymptotically normally distributed estimators for model parameters. When the predictor and instrumental variables are normally distributed, we also propose a maximum likelihood based estimator and a two - stage moment estimator. Simulation studies show that all proposed estimators perform satisfactorily for relatively small samples and relatively high degree of censoring. In addition, the maximum likelihood based estimators are fairly robust against non - normal and / or heteroskedastic random errors in our simulations. The method can be generalized to panel data models.

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