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Two-step semiparametric estimation of the Type-3 Tobit model

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  • Zhou, Xianbo
  • Pan, Zhewen

Abstract

This paper proposes an alternative two-step semiparametric estimator for the Type-3 Tobit model and presents its asymptotic properties. Simulation shows that the estimator performs well in various designs. An empirical application is provided to verify the usefulness of the estimator.

Suggested Citation

  • Zhou, Xianbo & Pan, Zhewen, 2015. "Two-step semiparametric estimation of the Type-3 Tobit model," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 96-105.
    • Handle: RePEc:eee:stapro:v:105:y:2015:i:c:p:96-105
    DOI: 10.1016/j.spl.2015.06.012
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    References listed on IDEAS

    as
    1. Chen, Songnian & Zhou, Xianbo, 2011. "Semiparametric estimation of a bivariate Tobit model," Journal of Econometrics, Elsevier, vol. 165(2), pages 266-274.
    2. Honore, Bo E. & Kyriazidou, Ekaterini & Udry, Christopher, 1997. "Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 107-128.
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    Cited by:

    1. Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.

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