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Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design

  • Oberhofer, Walter
  • Haupt, Harry

For both deterministic or stochastic regressors, as well as parametric nonlinear or linear regression functions, we prove the weak consistency of the coefficient estimators for the Type I censored quantile regression model under different censoring mechanisms with censoring points depending on the observation index (in a nonstochastic manner) and a weakly dependent error process. Our argumentation is based on an exposition of the connection between the residuals of the economically relevant model at the outset of the censored regression problem, and the residuals which are subject to the corresponding optimization process of censored quantile regression. In dieser Arbeit wird die schwache Konsistenz der Koeffizientenschätzer für das zensierte (Typ I) Quantilsregressionsmodell unter sehr allgemeinen Bedingungen -- lineare und nichtlineare Regressionsfunktionen, deterministische und stochastische Regressoren, Zensierungsgrenzen die (in nichtstochastischer Weise) vom Beobachtungsindex abhängen sowie schwach abhängige Fehlerterme -- bewiesen. Die Argumentation basiert dabei auf dem Zusammenhang zwischen den ökonomischen relevanten Residuen des Ausgangsmodells und den Residuen die Gegenstand der Zielfunktion des Optimierungskalküls der zensierten Quantilsregression sind.

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File URL: http://epub.uni-regensburg.de/4521/1/DP406_OH.pdf
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Paper provided by University of Regensburg, Department of Economics in its series University of Regensburg Working Papers in Business, Economics and Management Information Systems with number 406.

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Date of creation: 2005
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Handle: RePEc:bay:rdwiwi:480
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  1. Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," Econometric Society World Congress 2000 Contributed Papers 1237, Econometric Society.
  2. Newey, Whitney K. & Powell, James L., 1990. "Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions," Econometric Theory, Cambridge University Press, vol. 6(03), pages 295-317, September.
  3. Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(01), pages 169-192, February.
  4. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
  5. Mukherjee, Kanchan, 2000. "Linearization Of Randomly Weighted Empiricals Under Long Range Dependence With Applications To Nonlinear Regression Quantiles," Econometric Theory, Cambridge University Press, vol. 16(03), pages 301-323, June.
  6. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  7. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
  8. 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.
  9. De Gooijer J.G. & Zerom D., 2003. "On Additive Conditional Quantiles With High Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 135-146, January.
  10. Ioannides, D. A., 2004. "Fixed design regression quantiles for time series," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 235-245, July.
  11. repec:cup:cbooks:9780521586115 is not listed on IDEAS
  12. repec:cup:cbooks:9780521355643 is not listed on IDEAS
  13. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
  14. 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.
  15. Bilias, Yannis & Chen, Songnian & Ying, Zhiliang, 2000. "Simple resampling methods for censored regression quantiles," Journal of Econometrics, Elsevier, vol. 99(2), pages 373-386, December.
  16. Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 98(2), pages 283-316, October.
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