Maximum likelihood estimation of a spatial autoregressive Tobit model

A-Tier
Journal: Journal of Econometrics
Year: 2015
Volume: 188
Issue: 1
Pages: 264-280

Authors (2)

Xu, Xingbai (not in RePEc) Lee, Lung-fei (Ohio State University)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper examines a Tobit model with spatial autoregressive interactions. We consider the maximum likelihood estimation for this model and analyze asymptotic properties of the estimator based on the spatial near-epoch dependence of the dependent variable process generated from the model structure. We show that the maximum likelihood estimator is consistent and asymptotically normally distributed. Monte Carlo experiments are performed to verify finite sample properties of the estimator.

Technical Details

RePEc Handle
repec:eee:econom:v:188:y:2015:i:1:p:264-280
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25