An informative subset-based estimator for censored quantile regression
Quantile regression in the presence of fixed censoring has been studied extensively in the literature. However, existing methods either suffer from computational instability or require complex procedures involving trimming and smoothing, which complicates the asymptotic theory of the resulting estimators. In this paper, we propose a simple estimator that is obtained by applying standard quantile regression to observations in an informative subset. The proposed method is computationally convenient and conceptually transparent. We demonstrate that the proposed estimator achieves the same asymptotical efficiency as the Powell’s estimator, as long as the conditional censoring probability can be estimated consistently at a nonparametric rate and the estimated function satisfies some smoothness conditions. A simulation study suggests that the proposed estimator has stable and competitive performance relative to more elaborate competitors. Copyright Sociedad de Estadística e Investigación Operativa 2012
Volume (Year): 21 (2012)
Issue (Month): 4 (December)
|Contact details of provider:|| Web page: http://www.springerlink.com/link.asp?id=120411|
|Order Information:||Web: http://link.springer.de/orders.htm|
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.:
- repec:cup:cbooks:9780521608275 is not listed on IDEAS
- Xiaohong Chen & Oliver Linton & Ingred Van Keilegom, 2002.
"Estimation of semiparametric models when the criterion function is not smooth,"
CeMMAP working papers
CWP02/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function Is Not Smooth," Econometrica, Econometric Society, vol. 71(5), pages 1591-1608, 09.
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function is not Smooth," STICERD - Econometrics Paper Series /2003/450, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of semiparametric models when the criterion function is not smooth," LSE Research Online Documents on Economics 2167, London School of Economics and Political Science, LSE Library.
- Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
- Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
- repec:cup:cbooks:9780521845731 is not listed on IDEAS
- Fitzenberger, Bernd & Winker, Peter, 2007. "Improving the computation of censored quantile regressions," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 88-108, September.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Roger Koenker, . "Censored Quantile Regression Redux," Journal of Statistical Software, American Statistical Association, vol. 27(i06).
- Wang, Huixia Judy & Wang, Lan, 2009. "Locally Weighted Censored Quantile Regression," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1117-1128.
- 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.
When requesting a correction, please mention this item's handle: RePEc:spr:testjl:v:21:y:2012:i:4:p:635-655. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.