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Generalized method of moment estimation of truncated or censored regression

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  • Byung-Joo Lee
  • Mary Lee

Abstract

This paper proposes the generalized method of moment estimation of truncated or censored regression model, and applies this procedure to the recreational demand model estimation. In a typical limited dependent variable regression, the conditional mean of error distribution is no longer zero. However, by symmetric trimming of error distribution, we can obtain zero conditional mean, and the orthogonality conditions for GMM estimation. Travel cost model (TOM) is estimated using the symmetrically trimmed GMM estimation. Bootstrap is used to simulate the finite sample distribution of GMM estimates.

Suggested Citation

  • Byung-Joo Lee & Mary Lee, 1997. "Generalized method of moment estimation of truncated or censored regression," Applied Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 365-368.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:6:p:365-368
    DOI: 10.1080/135048597355311
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    Cited by:

    1. Sheng-Kai Chang, 2005. "The approximate slopes and the power of the GMM overidentifying restrictions test," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 845-848.
    2. M. Shabri Abd. Majid & Ahamed Kameel Mydin Meera & Mohd. Azmi Omar & Hassanuddeen Abdul Aziz, 2009. "Dynamic linkages among ASEAN‐5 emerging stock markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 4(2), pages 160-184, April.

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