A monte carlo analysis of the type II tobit maximum likelihood estimator when the true model is the type I tobit model

Kazumitsu Nawata ()
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Kazumitsu Nawata: University of Tokyo

Economics Bulletin, 2007, vol. 3, issue 54, 1-10

Abstract: Type I (censored regression) and Type II Tobit (sample selection) models are widely used in the various fields of economics. The Type I Tobit model is a special case of the Type II Tobit model. However, the dimension of the error terms decreases and the distribution of the error terms degenerates in the Type I Tobit Model. Therefore, we cannot use the standard asymptotic theorems for the Type II Tobit Maximum Likelihood Estimator (MLE) when the sample is obtained from the Type I Tobit model. Results of Monte Carlo experiments show strange behavior that has never been reported before for the Type II MLE.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2007-11-03
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