Semiparametric estimation of the Type-3 Tobit model

This paper considers estimation of the Type-3 Tobit model with only some weak restrictions imposed on the distribution of the error terms. Two least-squares-type estimation approaches are proposed under the condition that the error terms and regressors are independent. Consistent estimators for the asymptotic covariance matrices are proposed to facilitate large sample inference, and a small Monte Carlo simulation is performed to investigate the finite sample behavior of the proposed estimators. Also, the semiparametric efficiency bound is derived for the Type-3 Tobit model under the independence restriction.