Student-t censored regression model: properties and inference

Reinaldo Arellano-Valle (), Luis Castro (), Graciela González-Farías () and Karla Muñoz-Gajardo ()

Statistical Methods & Applications, 2012, vol. 21, issue 4, 453-473

Abstract: In statistical analysis, particularly in econometrics, it is usual to consider regression models where the dependent variable is censored (limited). In particular, a censoring scheme to the left of zero is considered here. In this article, an extension of the classical normal censored model is developed by considering independent disturbances with identical Student-t distribution. In the context of maximum likelihood estimation, an expression for the expected information matrix is provided, and an efficient EM-type algorithm for the estimation of the model parameters is developed. In order to know what type of variables affect the income of housewives, the results and methods are applied to a real data set. A brief review on the normal censored regression model or Tobit model is also presented. Copyright Springer-Verlag 2012

Keywords: ECM algorithm; Limited dependent variable; Maximum likelihood estimation; Student-t distribution; Tobit model (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s10260-012-0199-y

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