Estimation of Censored Regression Model: A Simulation Study

doi:10.3868/s060-001-012-0023-7

CORC > 上海财经大学 > 上海财经大学

	Estimation of Censored Regression Model: A Simulation Study
	Ai, Chunrong 1,2; Zhou, Qiong 3
刊名	FRONTIERS OF ECONOMICS IN CHINA
	2012
卷号	7 期号:4 页码:499-518
关键词	panel data censored regression finite sample performance Monte Carlo study
ISSN号	1673-3444
DOI	10.3868/s060-001-012-0023-7
英文摘要	We investigate the finite sample performance of several estimators proposed for the panel data Tobit regression model with individual effects, including Honor estimator, Hansen's best two-step GMM estimator, the continuously updating GMM estimator, and the empirical likelihood estimator (ELE). The latter three estimators are based on more conditional moment restrictions than the Honor estimator, and consequently are more efficient in large samples. Although the latter three estimators are asymptotically equivalent, the last two have better finite sample performance. However, our simulation reveals that the continuously updating GMM estimator performs no better, and in most cases is worse than Honor estimator in small samples. The reason for this finding is that the latter three estimators are based on more moment restrictions that require discarding observations. In our designs, about seventy percent of observations are discarded. The insufficiently few number of observations leads to an imprecise weighted matrix estimate, which in turn leads to unreliable estimates. This study calls for an alternative estimation method that does not rely on trimming for finite sample panel data censored regression model.
WOS研究方向	Business & Economics
语种	英语
出版者	SPRINGER
WOS记录号	WOS:000214477300001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2178]
专题	上海财经大学
通讯作者	Ai, Chunrong
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Univ Florida, Dept Econ, Gainesville, FL 32611 USA; 3.Shanghai Univ Finance & Econ, Sch Int Business Adm, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Ai, Chunrong,Zhou, Qiong. Estimation of Censored Regression Model: A Simulation Study[J]. FRONTIERS OF ECONOMICS IN CHINA,2012,7(4):499-518.
APA	Ai, Chunrong,&Zhou, Qiong.(2012).Estimation of Censored Regression Model: A Simulation Study.FRONTIERS OF ECONOMICS IN CHINA,7(4),499-518.
MLA	Ai, Chunrong,et al."Estimation of Censored Regression Model: A Simulation Study".FRONTIERS OF ECONOMICS IN CHINA 7.4(2012):499-518.