Pairwise Comparison Estimation of Censored Transformation Models
AbstractIn this paper a pairwise comparison estimation procedure is proposed for the regression coefficients in a censored transformation model. The main advantage of the new estimator is that it can accommodate covariate dependent censoring without the requirement of smoothing parameters, trimming procedures, or stringent tail behavior restrictions. We also modify the pairwise estimator for other variations of the transformation model and propose estimators for the transformation function itself, as well as regression coefficients in heteroskedastic and panel data models. The estimators are shown to converge at the parametric (root-$n$) rate, and the results of a small scale simulation study indicate they perform well in finite samples. We illustrate our estimator using the Stanford Heart Transplant data and marriage length data from the CPS fertility supplement.
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Bibliographic InfoPaper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 495.
Length: 37 pages
Date of creation: Oct 2002
Date of revision:
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Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.
Transformation Models; Pairwise Comparison; Maximum Rank Correlation; Duration Analysis;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
This paper has been announced in the following NEP Reports:
- NEP-ECM-2002-10-18 (Econometrics)
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