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A note on estimating censored quantile regressions

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  • Fitzenberger, Bernd
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    Abstract

    This note is concerned with estimating censored quantile regressions (CQR). As its major contribution, a' new algorithm, called BRCENS, is developed as an adaption of the Barrodale-Roberts algorithm for the standard quantile regression problem. In a subsequent simulation study, BRCENS performs well in comparison with the iterative linear programming algorithm (ILPA) suggested recently by Buchinsky. In the theoretical analysis, this note generalizes the asymptotic theory for estimating CQR to the case with observation specific censoring points and with fairly arbitrary non-stationarity and dependency in the data. Building on the interpolation property of the coefficient estimate, the ILPA is shown to suffer from some theoretical inconsistencies. --

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    Bibliographic Info

    Paper provided by University of Konstanz, Center for International Labor Economics (CILE) in its series Discussion Papers with number 14.

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    Date of creation: 1994
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    Handle: RePEc:zbw:koncil:14

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    Postal: D-78457 Konstanz
    Phone: +49 7531 88 2314
    Fax: +49-7531-88-2145
    Web page: http://www.wiwi.uni-konstanz.de/
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    Related research

    Keywords: Censored Quantile Regression; Consistency; Asymptotic Normality; Interpolation Property; Algorithms;

    References

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    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.:
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    1. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    2. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    3. Buchinsky, Moshe, 1994. "Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression," Econometrica, Econometric Society, vol. 62(2), pages 405-58, March.
    4. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    5. Portnoy, Stephen, 1991. "Asymptotic behavior of regression quantiles in non-stationary, dependent cases," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 100-113, July.
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    Cited by:
    1. Fitzenberger, Bernd & Franz, Wolfgang, 1997. "Flexibilität der qualifikatorischen Lohnstruktur und Lastverteilung der Arbeitslosigkeit: Eine ökonometrische Analyse für Westdeutschland," ZEW Discussion Papers 97-32, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    2. Stefan Hochguertel, 2003. "Precautionary motives and portfolio decisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 61-77.
    3. Jacobebbinghaus, Peter & Zwick, Thomas, 2001. "New technologies and the demand for medium qualified labour in Germany," ZEW Discussion Papers 01-12, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    4. Zhou, Xiuqing & Wang, Jinde, 2005. "A genetic method of LAD estimation for models with censored data," Computational Statistics & Data Analysis, Elsevier, vol. 48(3), pages 451-466, March.

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