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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/pii/S0304-4076(00)00020-8
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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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. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-1460, November.
    3. Chaudhuri, Probal, 1991. "Global nonparametric estimation of conditional quantile functions and their derivatives," Journal of Multivariate Analysis, Elsevier, vol. 39(2), pages 246-269, November.
    4. Melenberg, Bertrand & van Soest, Arthur, 1996. "Parametric and Semi-parametric Modelling of Vacation Expenditures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 59-76, Jan.-Feb..
    5. 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.
    6. Honore, Bo E, 1992. "Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects," Econometrica, Econometric Society, vol. 60(3), pages 533-565, May.
    7. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
    8. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    9. Arthur Lewbel & Linton, Oliver Linton, 1998. "Nonparametric Censored Regression," Cowles Foundation Discussion Papers 1186, Cowles Foundation for Research in Economics, Yale University.
    10. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-465, May.
    11. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    12. Donald, Stephen G., 1995. "Two-step estimation of heteroskedastic sample selection models," Journal of Econometrics, Elsevier, vol. 65(2), pages 347-380, February.
    13. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    14. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    15. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
    16. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    17. 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.
    18. Newey, Whitney K & Stoker, Thomas M, 1993. "Efficiency of Weighted Average Derivative Estimators and Index Models," Econometrica, Econometric Society, vol. 61(5), pages 1199-1223, September.
    19. 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.
    20. 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.
    21. Moon, Choon-Geol, 1989. "A Monte Carlo Comparison of Semiparametric Tobit Estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(4), pages 361-382, Oct.-Dec..
    22. 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. 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.
    2. 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.
    3. Rima Rajab & Milan Dražić & Nenad Mladenović & Pavle Mladenović & Keming Yu, 2015. "Fitting censored quantile regression by variable neighborhood search," Journal of Global Optimization, Springer, vol. 63(3), pages 481-500, November.
    4. Stein Holden & Hailu Yohannes, 2002. "Land Redistribution, Tenure Insecurity, and Intensity of Production: A Study of Farm Households in Southern Ethiopia," Land Economics, University of Wisconsin Press, vol. 78(4), pages 573-590.
    5. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.
    6. 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.
    7. 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.
    8. 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.
    9. Chen, Songnian & Zhang, Hanghui, 2015. "Binary quantile regression with local polynomial smoothing," Journal of Econometrics, Elsevier, vol. 189(1), pages 24-40.

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