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Symmetrically Trimmed Least Squares Estimation for Tobit Models

1986; Wiley; Volume: 54; Issue: 6 Linguagem: Inglês

10.2307/1914308

1468-0262

James L. Powell,

Statistical Methods and Bayesian Inference

This papjer proposes alternatives to maximum likelihood estimation of the censored and truncated regression models (known to economists as "Tobit" models) .The proposed estimators are based on symmetric censoring or truncation of the upper tail of the distribution of the dependent variable.Unlike methods based on the assumption of identically distributed Gaussian errors/ the estimators are consistent and asymptotically normal for a wide class of error distributions and for heteroscedasticity of unknown form.The paper gives the regularity conditions and proofs of these large sample results, demonstrates how to construct consistent estimators of the asymptotic covariance matrices, and presents the results of a simulation study for the censored case.Extensions and limitations of the approach are also considered.