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Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity

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  • Chen, Songnian
  • Khan, Shakeeb
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-40VT2M5-5/2/5627eea036b1ade64d33432dfae590d3
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 98 (2000)
    Issue (Month): 2 (October)
    Pages: 283-316

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    Handle: RePEc:eee:econom:v:98:y:2000:i:2:p:283-316

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    Web page: http://www.elsevier.com/locate/jeconom

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    References

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    1. Horowitz, Joel L., 1986. "A distribution-free least squares estimator for censored linear regression models," Journal of Econometrics, Elsevier, vol. 32(1), pages 59-84, June.
    2. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    3. Honore, Bo E. & Kyriazidou, Ekaterini & Udry, Christopher, 1997. "Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 107-128.
    4. Donald, Stephen G., 1995. "Two-step estimation of heteroskedastic sample selection models," Journal of Econometrics, Elsevier, vol. 65(2), pages 347-380, February.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    6. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    7. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
    8. Melenberg, B. & Soest, A.H.O. van, 1991. "Parametric and semi-parametric modelling of vacation expenditures," Discussion Paper 1991-44, Tilburg University, Center for Economic Research.
    9. Jarque, Carlos M., 1987. "An application of LDV models to household expenditure analysis in Mexico," Journal of Econometrics, Elsevier, vol. 36(1-2), pages 31-53.
    10. Newey, Whitney K & Stoker, Thomas M, 1993. "Efficiency of Weighted Average Derivative Estimators and Index Models," Econometrica, Econometric Society, vol. 61(5), pages 1199-223, September.
    11. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
    12. Sherman, Robert P., 1994. "U-Processes in the Analysis of a Generalized Semiparametric Regression Estimator," Econometric Theory, Cambridge University Press, vol. 10(02), pages 372-395, June.
    13. Nawata, Kazumitsu, 1990. "Robust estimation based on grouped-adjusted data in censored regression models," Journal of Econometrics, Elsevier, vol. 43(3), pages 337-362, March.
    14. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    15. Arthur Lewbel & Linton, Oliver Linton, 1998. "Nonparametric Censored Regression," Cowles Foundation Discussion Papers 1186, Cowles Foundation for Research in Economics, Yale University.
    16. Moon, Choon-Geol, 1989. "A Monte Carlo Comparison of Semiparametric Tobit Estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(4), pages 361-82, Oct.-Dec..
    17. Honore, Bo E. & Powell, James L., 1994. "Pairwise difference estimators of censored and truncated regression models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 241-278.
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    Cited by:
    1. Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
    2. Kanamori, Takafumi & Takeuchi, Ichiro, 2006. "Conditional mean estimation under asymmetric and heteroscedastic error by linear combination of quantile regressions," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3605-3618, August.
    3. Stacey H. Chen & Shakeeb Khan, 2003. "Nonparametric Estimation of Average Volatility Differentials in Selection Models with an Application to Returns to Schooling," Discussion Papers 03-02, University at Albany, SUNY, Department of Economics.
    4. Oberhofer, Walter & Haupt, Harry, 2005. "Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design," University of Regensburg Working Papers in Business, Economics and Management Information Systems 406, University of Regensburg, Department of Economics.
    5. Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
    6. Holden, Stein & Yohannes, Hailu, 2001. "Land redistribution, tenure insecurity, and intensity of production: a study of farm households in southern Ethiopia," CAPRi working papers 21, International Food Policy Research Institute (IFPRI).
    7. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.

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