published in: Econometric Reviews, 2005, 24 (2), 195-217
This article considers a wide class of censoring problems and presents a construction rule for
an objective function. This objective function generalises the ordinary likelihood as well as
particular “likelihoods” used for estimation in several censoring models. Under regularity
conditions the maximiser of this generalised likelihood has all the properties of a maximum
likelihood estimator: it is consistent and the respective root-n estimator is asymptotically
efficient and normally distributed.
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