On the robustness of the corrected least squares (cols) estimator for the tobit model

Thanasis Stengos

Brazilian Review of Econometrics, 1987, vol. 7, issue 2

Abstract: We provide an alternative derivation for the simple moment estimator first developed by Greene. Our derivation is based on a Taylor series approximation to the population regression function. Our sampling experiments suggest that this estimator, although in general inconsistent is quite well-behaved and robust to different distributional assumptions regarding the exogenous variables, provided that the latter have not been generated from highly skewed distributions.

Date: 1987
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