On the robustness of the corrected least squares (cols) estimator for the tobit model

Authors

  • Thanasis Stengos University of Guelph, Guelph, Ontario.

DOI:

https://doi.org/10.12660/bre.v7n21987.3100

Abstract

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.

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Published

1987-11-02

Issue

Section

Articles