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Estimation With Censored Regressors: Basic Issues

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  • Roberto Rigobon
  • Thomas M. Stoker

Abstract

We study issues that arise for estimation of a linear model when a regressor is censored. We discuss the efficiency losses from dropping censored observations, and illustrate the losses for bound censoring. We show that the common practice of introducing a dummy variable to "correct for" censoring does not correct bias or improve estimation. We show how censored observations generally have zero semiparametric information, and we discuss implications for estimation. We derive the likelihood function for a parametric model of mixed bound-independent censoring, and apply that model to the estimation of wealth effects on consumption. Copyright 2007 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.

Suggested Citation

  • Roberto Rigobon & Thomas M. Stoker, 2007. "Estimation With Censored Regressors: Basic Issues," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1441-1467, November.
  • Handle: RePEc:ier:iecrev:v:48:y:2007:i:4:p:1441-1467
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    Cited by:

    1. Tsimikas, John V. & Bantis, Leonidas E. & Georgiou, Stelios D., 2012. "Inference in generalized linear regression models with a censored covariate," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1854-1868.
    2. 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.
    3. Francesco Caselli & Andrea Tesei, 2016. "Resource Windfalls, Political Regimes, and Political Stability," The Review of Economics and Statistics, MIT Press, vol. 98(3), pages 573-590, July.
    4. Huettel, Silke & Odening, Martin & Kataria, Karin & Balmann, Alfons, 2013. "Price Formation on Land Market Auctions in East Germany – An Empirical Analysis," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 62(2).
    5. Gumpert, Anna & Hines, James R. & Schnitzer, Monika, 2011. "The use of tax havens in exemption regimes," Discussion Paper Series 1: Economic Studies 2011,30, Deutsche Bundesbank.
    6. Decker, Sandra L. & Lipton, Brandy J., 2015. "Do Medicaid benefit expansions have teeth? The effect of Medicaid adult dental coverage on the use of dental services and oral health," Journal of Health Economics, Elsevier, vol. 44(C), pages 212-225.
    7. 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.
    8. Murasko, Jason E., 2009. "Socioeconomic status, height, and obesity in children," Economics & Human Biology, Elsevier, vol. 7(3), pages 376-386, December.
    9. Lutz Kilian & Robert J. Vigfusson, 2009. "Pitfalls in estimating asymmetric effects of energy price shocks," International Finance Discussion Papers 970, Board of Governors of the Federal Reserve System (U.S.).
    10. repec:bla:jorssc:v:66:y:2017:i:2:p:313-328 is not listed on IDEAS
    11. 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.
    12. Florian Schaffner, 2015. "Predicting US bank failures with internet search volume data," ECON - Working Papers 214, Department of Economics - University of Zurich.
    13. Sourafel Girma & Dev Vencappa, 2015. "Financing sources and firm level productivity growth: evidence from Indian manufacturing," Journal of Productivity Analysis, Springer, vol. 44(3), pages 283-292, December.
    14. Jeon, Jin Q. & Ligon, James A., 2011. "How much is reasonable? The size of termination fees in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 959-981, September.

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