A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators

Insik Min (), Sheng Sheu and Zijun Wang
Additional contact information
Insik Min: Department of Economics, Texas A&M University
Sheng Sheu: Department of Economics, University of Western Ontario
Zijun Wang: Private Enterprise Research Center, Texas A&M University

Annals of Economics and Finance, 2003, vol. 4, issue 1, 125-136

Abstract: This paper compares recently developed semiparametric estimators of Type-3 Tobit model using Monte Carlo simulations. In particular, we examine the finite sample performance of the recently proposed method by Li and Wooldridge and compare it to some alternative semiparametric estimators. Simulation results indicated that Li and Wooldridge (2002) estimator under the independence restriction compares well relative to other alternative estimators, especially when the sample size is small or the error distribution has a thick tail.

Keywords: Type-3 Tobit model; Semiparametric estimation; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C10 C14 C15 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://aeconf.com/Articles/May2003/aef040107.pdf (application/pdf)
http://down.aefweb.net/AefArticles/aef040107.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2003:v:4:i:1:p:125-136

Access Statistics for this article

Annals of Economics and Finance is currently edited by Heng-fu Zou

More articles in Annals of Economics and Finance from Society for AEF Contact information at EDIRC.
Bibliographic data for series maintained by Qiang Gao ().