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Semiparametic Nonlinear Least-Squares Estimation of Truncated Regression Models

Published online by Cambridge University Press:  18 October 2010

Lung-Fei Lee
Lung-Fei Lee
Affiliation:
University of Michigan
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Abstract

This article provides a semiparametric method for the estimation of truncated regression models where the disturbances are independent of the regressors before truncation. This independence property provides useful information on model identification and estimation. Our estimate is shown to be -consistent and asymptotically normal. A consistent estimate of the asymptotic covariance matrix of the estimator is provided. Monte Carlo experiments are performed to investigate some finite sample properties of the estimator.

Type
Articles
Information
Econometric Theory , Volume 8 , Issue 1 , March 1992 , pp. 52 - 94
Copyright
Copyright © Cambridge University Press 1992

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