Title
Student-t censored regression model: Properties and inference
Date Issued
01 November 2012
Access level
metadata only access
Resource Type
journal article
Author(s)
Universidad de Concepción
Abstract
In statistical analysis, particularly in econometrics, it is usual to consider regression models where the dependent variable is censored (limited). In particular, a censoring scheme to the left of zero is considered here. In this article, an extension of the classical normal censored model is developed by considering independent disturbances with identical Student-t distribution. In the context of maximum likelihood estimation, an expression for the expected information matrix is provided, and an efficient EM-type algorithm for the estimation of the model parameters is developed. In order to know what type of variables affect the income of housewives, the results and methods are applied to a real data set. A brief review on the normal censored regression model or Tobit model is also presented. © 2012 Springer-Verlag.
Start page
453
End page
473
Volume
21
Issue
4
Language
English
OCDE Knowledge area
Matemáticas
EstadÃsticas, Probabilidad
Subjects
Scopus EID
2-s2.0-84868472021
Source
Statistical Methods and Applications
ISSN of the container
1613981X
Sponsor(s)
Acknowledgments The authors thank to one anonymous referee whose constructive comments led to an improved presentation of the manuscript. The research of Arellano-Valle was partially supported by grant FONDECYT 1085241 and 1120121 from the Chilean government. The research of Castro was partially supported by grant FONDECYT 11100076 from the Chilean government. The research of González-FarÃas was partially supported by CONACYT Ciencia Básica No. 105657 and ECO2010-19357. The research of Muñoz-Gajardo was partially supported by grant FONDECYT 1085241 from the Chilean government and by DIPUC and VRAID from Pontificia Universidad Católica de Chile.
Sources of information:
Directorio de Producción CientÃfica
Scopus