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Title:What You Always Wanted to Know About Censoring But Never Dared to Ask - Parameter Estimation for Censored Random Vectors PDF Logo
Authors:Schnedler, Wendelin
Issue Date:2003
Series/Report no.:IZA Discussion paper series 837
Abstract:This article considers a wide class of censoring problems and presents a construction rule for an objective function. This objective function generalises the ordinary likelihood as well as particular ?likelihoods? used for estimation in several censoring models. Under regularity conditions the maximiser of this generalised likelihood has all the properties of a maximum likelihood estimator: it is consistent and the respective root-n estimator is asymptotically efficient and normally distributed.
Subjects:censored variables
M-estimation
multivariate methods
random censoring
generalised likelihood
JEL:C13
C24
Document Type:Working Paper
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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