Tobit Liu estimation of censored regression model: an application to Mroz data and a Monte Carlo simulation study

TOKER KUTAY S., ÖZBAY N., ÜSTÜNDAĞ ŞİRAY G., Yenilmez I.

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, cilt.91, sa.6, ss.1061-1091, 2021 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 91 Sayı: 6
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1080/00949655.2020.1828416
  • Dergi Adı: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Aerospace Database, Business Source Elite, Business Source Premier, CAB Abstracts, Communication Abstracts, Metadex, Veterinary Science Database, zbMATH, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.1061-1091
  • Anahtar Kelimeler: Censored regression model, multicollinearity, Tobit Liu estimator, Tobit ridge estimator, RIDGE-REGRESSION, DIAGNOSTICS
  • Çukurova Üniversitesi Adresli: Evet

Özet

Multicollinearity is often ignored in censored regression model. In this respect, Tobit Liu estimation is proposed as an alternative in order to dispel the adverse effects of multicollinearity on the maximum likelihood estimation. Tobit Liu estimator is compared with Tobit ridge estimator and Tobit maximum likelihood estimator, theoretically via mean square error. For empirical analysis, we prefer Mroz dataset which is a phenomenon in the context of censored regression. Since many studies have investigated Mroz dataset by neglecting multicollinearity, we handle this dataset in the context of multicollinearity in this paper. Moreover, it is seen that multicollinearity is not included in pioneer studies' simulation designs. Therefore, we conduct a Monte Carlo simulation study where we take account of different levels of multicollinearity while generating data. Briefly, this study contributes to filling an important gap in the literature and proposes to investigate other econometrically censored data in the context of multicollinearity.