info:eu-repo/semantics/article
On the robustness of the corrected least squares (cols) estimator for the tobit model
On the robustness of the corrected least squares (cols) estimator for the tobit model
Autor
Stengos, Thanasis
Institución
Resumen
We provide an alternative derivation for the simple moment estimator first developed by Greene. Our derivation is based on a Taylor series approximation to the population regression function. Our sampling experiments suggest that this estimator, although in general inconsistent is quite well-behaved and robust to different distributional assumptions regarding the exogenous variables, provided that the latter have not been generated from highly skewed distributions. We provide an alternative derivation for the simple moment estimator first developed by Greene. Our derivation is based on a Taylor series approximation to the population regression function. Our sampling experiments suggest that this estimator, although in general inconsistent is quite well-behaved and robust to different distributional assumptions regarding the exogenous variables, provided that the latter have not been generated from highly skewed distributions.