Estimation of type 3 tobit models using symmetric trimming and pairwise comparisons

Bo E. Honoré, Aikaterini Kyriazidou, Christopher Udry

Research output: Contribution to journalArticle

Abstract

This paper considers estimation of the semiparametric Type 3 Tobit model. We construct two-step estimators that use the ideas of symmetric trimming and pairwise comparisons which have been proposed for the censored regression model by Powell (1986) and Honoré and Powell (1994). The estimators are consistent and asymptotically normal under two identifying assumptions: conditional symmetry and independence between the errors and regressors. The ideas and techniques are also implementable in other selection models that are variations of the basic Type 3 Tobit model. We demonstrate this by applying the proposed method in estimating an empirical model considered by Udry (1994).

Original languageEnglish (US)
Pages (from-to)107-128
Number of pages22
JournalJournal of Econometrics
Volume76
Issue number1-2
DOIs
StatePublished - Jan 1 1997

Fingerprint

Tobit model
Pairwise comparisons
Estimator
Two-step estimator
Symmetry
Empirical model
Censored regression model
Selection model

Keywords

  • Selection models
  • Symmetric trimming
  • Type 3 Tobit models

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Estimation of type 3 tobit models using symmetric trimming and pairwise comparisons. / Honoré, Bo E.; Kyriazidou, Aikaterini; Udry, Christopher.

In: Journal of Econometrics, Vol. 76, No. 1-2, 01.01.1997, p. 107-128.

Research output: Contribution to journalArticle

Honoré, Bo E. ; Kyriazidou, Aikaterini ; Udry, Christopher. / Estimation of type 3 tobit models using symmetric trimming and pairwise comparisons. In: Journal of Econometrics. 1997 ; Vol. 76, No. 1-2. pp. 107-128.
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