Consistent Estimation of a Multivariate Doubly Truncated or Censored Tobit Model

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Consistent Estimation of a Multivariate Doubly Truncated or Censored Tobit Model

Authors

Lee, Lung-Fei

Published Date

1981-08

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Center for Economic Research, Department of Economics, University of Minnesota

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Working Paper

Abstract

A multivariate regression model with some of the dependent variables doubly truncated normal is specified. A recursive relation for the moments of the truncated multivariate normal distribution is derived. Based on the recursive relations, some computationally simple and consistent instrumental variables estimation procedures are proposed. The asymptotic distribution of the estimators is analyzed.

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Center for Economic Research Discussion Papers

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Discussion Paper
153

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Previously Published Citation

Lee, L., (1981), "Consistent Estimation of a Multivariate Doubly Truncated or Censored Tobit Model", Discussion Paper No. 153, Center for Economic Research, Department of Economics, University of Minnesota.

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Lee, Lung-Fei. (1981). Consistent Estimation of a Multivariate Doubly Truncated or Censored Tobit Model. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55128.

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