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An algorithm for censored quantile regressions

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Author Info
Thanasis Stengos () (University of Guelph)
Dianqin Wang () (University of Guelph)

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Abstract

In this paper, we present an algorithm for Censored Quantile Regression (CQR) estimation problems. Our method permits CQR estimation problems to be solved more efficiently and reliably than was hitherto possible. It guarantees to find a high quality estimator in O(k×n²) operations with k regressors and n observations, which is much less than the existing algorithms for CQR problems.

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File URL: http://economicsbulletin.vanderbilt.edu/2007/volume3/EB-06C20071A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2007)
Issue (Month): 1 ()
Pages: 1-9
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2007:i:1:p:1-9

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Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
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Related research
Keywords: Censored Quantile Regression; finite critical points; non-smooth distance function;

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283. [Downloadable!] (restricted)
  2. Fitzenberger, Bernd & Winker, Peter, . "Improving the Computation of Censored Quantile Regressions," IVS discussion paper series 568, Institut für Volkswirtschaft und Statistik (IVS), University of Mannheim. [Downloadable!]
    Other versions:
  3. Honore, Bo E, 1992. "Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects," Econometrica, Econometric Society, vol. 60(3), pages 533-65, May. [Downloadable!] (restricted)
  4. Pinkse, C. A. P., 1993. "On the computation of semiparametric estimates in limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 185-205, July. [Downloadable!] (restricted)
  5. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June. [Downloadable!] (restricted)
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Statistics
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