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Estimation With Censored Regressors: Basic Issues


  • Roberto Rigobon
  • Thomas M. Stoker


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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    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.
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    9. 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.
    10. Murasko, Jason E., 2009. "Socioeconomic status, height, and obesity in children," Economics & Human Biology, Elsevier, vol. 7(3), pages 376-386, December.
    11. 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.).
    12. Folefac D. Atem & Jing Qian & Jacqueline E. Maye & Keith A. Johnson & Rebecca A. Betensky, 2017. "Linear regression with a randomly censored covariate: application to an Alzheimer's study," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(2), pages 313-328, February.
    13. Huettel, Silke & Odening, Martin & Kataria, Karin & Balmann, Alfons, 2013. "Price Formation on Land Market Auctions in East Germany – An Empirical Analysis," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 62(02), pages 1-17, May.
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    17. Florian Schaffner, 2015. "Predicting US bank failures with internet search volume data," ECON - Working Papers 214, Department of Economics - University of Zurich.
    18. Christophe Kolodziejczyk, 2020. "The effect of time to death on health care expenditures: taking into account the endogeneity and right censoring of time to death," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 21(6), pages 945-962, August.
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    20. 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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