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Bias From Censored Regressors

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  • Rigobon, Roberto
  • Stoker, Thomas M.

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  • Rigobon, Roberto & Stoker, Thomas M., 2009. "Bias From Censored Regressors," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 340-353.
  • Handle: RePEc:bes:jnlbes:v:27:i:3:y:2009:p:340-353
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    File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.06119
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    References listed on IDEAS

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    1. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
    2. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
    3. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
    6. Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 679-702.
    7. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
    8. Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, March.
    9. Nelson, Daniel B & Foster, Dean P, 1994. "Asymptotic Filtering Theory for Univariate ARCH Models," Econometrica, Econometric Society, vol. 62(1), pages 1-41, January.
    10. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    11. repec:cup:cbooks:9780521822893 is not listed on IDEAS
    12. Drew Creal & Siem Jan Koopman & André Lucas, 2013. "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, August.
    13. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
    14. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    15. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. repec:bla:jorssc:v:66:y:2017:i:2:p:313-328 is not listed on IDEAS
    2. Bernhardt, Paul W. & Wang, Huixia Judy & Zhang, Daowen, 2014. "Flexible modeling of survival data with covariates subject to detection limits via multiple imputation," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 81-91.
    3. Konstantin A. Kholodilin, 2015. "War, Housing Rents, and Free Market: A Case of Berlin's Rental Housing Market during the World War I," Discussion Papers of DIW Berlin 1477, DIW Berlin, German Institute for Economic Research.
    4. repec:kap:itaxpf:v:24:y:2017:i:3:d:10.1007_s10797-016-9428-x is not listed on IDEAS
    5. John Gilbert & Reza Oladi, 2012. "Net campaign contributions, agricultural interests, and votes on liberalizing trade with China," Public Choice, Springer, vol. 150(3), pages 745-769, March.
    6. repec:eee:iburev:v:26:y:2017:i:5:p:816-827 is not listed on IDEAS
    7. Lee, JoAnn S. & Romich, Jennifer L. & Kang, Ji Young & Hook, Jennifer L. & Marcenko, Maureen O., 2017. "The impact of income on reunification among families with children in out-of-home care," Children and Youth Services Review, Elsevier, vol. 72(C), pages 91-99.
    8. repec:ebd:wpaper:157 is not listed on IDEAS
    9. Guy David & Tanguy Brachet, 2011. "On the Determinants of Organizational Forgetting," American Economic Journal: Microeconomics, American Economic Association, vol. 3(3), pages 100-123, August.
    10. Abhijeet Singh, 2014. "Emergence and evolution of learning gaps across countries: Linked panel evidence from Ethiopia, India, Peru and Vietnam," CSAE Working Paper Series 2014-28, Centre for the Study of African Economies, University of Oxford.
    11. repec:eee:jimfin:v:79:y:2017:i:c:p:1-19 is not listed on IDEAS
    12. Anna Gumpert & James R. Hines, Jr. & Monika Schnitzer, 2011. "The Use of Tax Havens in Exemption Regimes," NBER Working Papers 17644, National Bureau of Economic Research, Inc.
    13. Bin Ni, 2015. "Productivity, Capital Intensity and ISO14001 Adoption \Theory and Evidence from Vietnam," Discussion Papers in Economics and Business 15-26, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
    14. Victor Chernozhukov & Roberto Rigobon & Thomas M. Stoker, 2010. "Set identification and sensitivity analysis with Tobin regressors," Quantitative Economics, Econometric Society, vol. 1(2), pages 255-277, November.

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