Maximum Likelihood Estimation of a Spatial Autoregressive Tobit Model

Mardi | 2014-03-11
salle des thèses

Lung-fei LEE – Xingbai XU

This paper examines a Tobit model with spatial autoregressive interactions. Weconsider 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.