Likelihood Estimation for Censored Random Vectors

Wendelin Schnedler

Econometric Reviews, 2005, vol. 24, issue 2, 195-217

Abstract: This article shows how to construct a likelihood for a general class of censoring problems. This likelihood is proven to be valid, i.e. its maximizer is consistent and the respective root-n estimator is asymptotically efficient and normally distributed under regularity conditions. The method generalizes ordinary maximum likelihood estimation as well as several standard estimators for censoring problems (e.g. tobit type I-tobit type V).

Keywords: Censored variables; Likelihood; Limited dependent variables; Multivariate methods; Random censoring (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (16)

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DOI: 10.1081/ETC-200067925

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