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An Alternative Estimator for the Censored Quantile Regression Model

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Author Info
Moshe Buchinsky
Jinyong Hahn
Abstract

This paper introduces an alternative estimator for the linear censored quantile regression model. The estimator also applies to cases where the censoring point is unknown. Since the objective function is globally convex and the estimator is a solution to a linear programming problem, a global minimizer is obtained in a finite number of simplex iterations. The estimator has a square root of n-convergence rate and is asymptotically normal. A Monte Carlo study performed shows that the suggested estimator has very desirable small sample properties.

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 66 (1998)
Issue (Month): 3 (May)
Pages: 653-672
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Handle: RePEc:ecm:emetrp:v:66:y:1998:i:3:p:653-672

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  2. Christophe Muller, 2006. "Optimising Anti-Poverty Transfers With Quantile Regressions," Working Papers. Serie AD 2006-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  3. Arthur Lewbel & Linton, Oliver Linton, 1998. "Nonparametric Censored Regression," Cowles Foundation Discussion Papers 1186, Cowles Foundation, Yale University. [Downloadable!]
  4. Jose A. F. Machado & J. M. C. Santos Silva, 2008. "Quantiles for Fractions and Other Mixed Data," Economics Discussion Papers 656, University of Essex, Department of Economics. [Downloadable!]
  5. Christophe MULLER and Sami BIBI, 2008. "Focused Transfer Targeting against Poverty Evidence from Tunisia," THEMA Working Papers 2008-37, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
  6. Joshua Angrist & Victor Chernozhukov & Ivan Fernandez-Val, 2004. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," NBER Working Papers 10428, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Halbert White & Tae-Hwan Kim, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series 2002-09, Department of Economics, UC San Diego. [Downloadable!]
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  10. Kyungchul Song, 2009. "Two-Step Extremum Estimation with Estimated Single-Indices," PIER Working Paper Archive 09-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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  12. Ludsteck, Johannes & Haupt, Harald, 2007. "An Empirical Test of the Reder Hypothesis," Discussion Papers in Economics 1397, University of Munich, Department of Economics. [Downloadable!]
  13. Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," STICERD - Econometrics Paper Series /2000/389, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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