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bhat
2008 Sep 16
0
Maximum likelihood estimation of a truncated regression model
Hi,
I have a quick question regarding estimation of a truncation
regression model (truncated above at 1) using MLE in R. I will be most
grateful to you if you can help me out.
The model is linear and the relationship is "dhat = bhat0+Z*bhat+e",
where dhat is the dependent variable >0 and upper truncated at 1;
bhat0 is the intercept; Z is the independent variable and is a uniform
random variate between 0 and 1; and e is the error term. I realised
that R doesn't have a built-in function to estimate truncated
regressio...