A Monte Carlo comparison of semiparametric Tobit estimators
- 1 October 1989
- journal article
- research article
- Published by Wiley in Journal of Applied Econometrics
- Vol. 4 (4) , 361-382
- https://doi.org/10.1002/jae.3950040405
Abstract
This paper focuses on a performance comparison of semiparametric Tobit estimators. Firstly, a conditional expectation version of Horowitz's distribution‐free least‐squares estimator is proposed, together with a short description of the other estimators considered in the later Monte Carlo experiment. Then, a performance comparison of the following selected estimators is made through a Monte Carlo experiment: the standard Tobit maximum‐likelihood estimator, the Buckley–James estimator, Horowitz's distribution‐free least‐squares estimator, a conditional version of Horowitz's estimator and Powell's least absolute deviations estimator. An empirical example of Engel curve estimation with zero expenditures follows.Keywords
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