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Bandwidth Selection in Semiparametric Estimation of Censored Linear Regression Models

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Author Info
Hall, Peter
Horowitz, Joel L.
Abstract

Quantile and semiparametric M estimation are methods for estimating a censored linear regression model without assuming that the distribution of the random component of the model belongs to a known parametric family. Both methods require estimating derivatives of the unknown cumulative distribution function of the random component. The derivatives can be estimated consistently using kernel estimators in the case of quantile estimation and finite difference quotients in the case of semiparametric M estimation. However, the resulting estimates of derivatives, as well as parameter estimates and inferences that depend on the derivatives, can be highly sensitive to the choice of the kernel and finite difference bandwidths. This paper discusses the theory of asymptotically optimal bandwidths for kernel and difference quotient estimation of the derivatives required for quantile and semiparametric M estimation, respectively. We do not present a fully automatic method for bandwidth selection.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 6 (1990)
Issue (Month): 02 (June)
Pages: 123-150
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:6:y:1990:i:02:p:123-150_00

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  1. Yoon-Jae Whang, 2004. "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Cowles Foundation Discussion Papers 1453, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  2. Joel L. Horowitz, 1996. "Bootstrap Methods for Median Regression Models," Econometrics 9608004, EconWPA. [Downloadable!]
    Other versions:
  3. Hochguertel, S., 1997. "Precautionary motives and portfolio decisions," Discussion Paper 55, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
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