Maximum likelihood estimation of a spatial autoregressive Tobit model

Xingbai Xu and Lung-Fei Lee

Journal of Econometrics, 2015, vol. 188, issue 1, 264-280

Abstract: This paper examines a Tobit model with spatial autoregressive interactions. We consider the maximum likelihood estimation for this model and analyze asymptotic properties of the estimator based on the spatial near-epoch dependence of the dependent variable process generated from the model structure. We show that the maximum likelihood estimator is consistent and asymptotically normally distributed. Monte Carlo experiments are performed to verify finite sample properties of the estimator.

Keywords: Spatial autoregressive model; Tobit model; Censored data; Near-epoch dependence; Maximum likelihood (search for similar items in EconPapers)
JEL-codes: C13 C21 C24 C63 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:188:y:2015:i:1:p:264-280

DOI: 10.1016/j.jeconom.2015.05.004

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