What you always wanted to know about censoring but never dared to ask

Wendelin Schnedler

No 16/2003, Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE)

Abstract: This article considers a wide class of censoring problems and presents a construction rule for an objective function. This objective function generalises the ordinary likelihood as well as particular "likelihoods" used for estimation in several censoring models. Under regularity conditions the maximiser of this generalised likelihood has all the properties of a maximum likelihood estimator: it is consistent and the respective root-n estimator is asymptotically e±cient and normally distributed.

Keywords: Censored variables; M-estimation; Multivariate methods; Random censoring; generalised likelihood (search for similar items in EconPapers)
JEL-codes: C13 C24 (search for similar items in EconPapers)
Date: 2003
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Working Paper: What you always wanted to know about censoring but never dared to ask (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bonedp:162003

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