IDEAS home Printed from https://ideas.repec.org/p/crs/wpaper/2006-10.html

Nonlinear Censored Regression Using Synthetic Data

Author

Listed:
  • Michel Delecroix

    (Crest)

  • Olivier Lopez

    (Crest)

  • Valentin Patilea

    (Crest)

Abstract

The problem of estimating a nonlinear regression model when the dependent variableis randomly censored is considered. The parameter of the model is estimated by leastsquares using synthetic data, that is a suitable transformation of the response variablesthat preserves the conditional expectation. Two such transformations are considered.Consistency and asymptotic normality of the least squares estimators are derived. Theproofs are based on a novel approach that uses i.i.d. representation of synthetic datathrough Kaplan-Meier integrals. The asymptotic results are completed by a small com-parative simulation study.

Suggested Citation

  • Michel Delecroix & Olivier Lopez & Valentin Patilea, 2006. "Nonlinear Censored Regression Using Synthetic Data," Working Papers 2006-10, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2006-10
    as

    Download full text from publisher

    File URL: http://crest.science/RePEc/wpstorage/2006-10.pdf
    File Function: Crest working paper version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Stute, W., 1993. "Consistent Estimation Under Random Censorship When Covariables Are Present," Journal of Multivariate Analysis, Elsevier, vol. 45(1), pages 89-103, April.
    2. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Olivier Lopez & Valentin Patilea, 2007. "Nonparametric Lack-of-fit Tests for Parametric Mean-Regression Model with Censored Data," Working Papers 2007-01, Center for Research in Economics and Statistics.
    2. Pedro H. C. Sant'Anna, 2016. "Program Evaluation with Right-Censored Data," Papers 1604.02642, arXiv.org.
    3. Kaido, Hiroaki, 2017. "Asymptotically Efficient Estimation Of Weighted Average Derivatives With An Interval Censored Variable," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1218-1241, October.
    4. Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84, pages 1571-1612, July.
    5. Joel L. Horowitz, 1998. "Bootstrap Methods for Median Regression Models," Econometrica, Econometric Society, vol. 66(6), pages 1327-1352, November.
    6. Hirbod Assa & Amal Dabbous & Nikolay Gospodinov, 2013. "A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics," FRB Atlanta Working Paper 2013-08, Federal Reserve Bank of Atlanta.
    7. 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, September.
    8. Qin Yu & Xin Zhou & Jia Zhou & Zemin Zheng, 2026. "Confidence intervals for high-dimensional accelerated failure time models under measurement errors," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 32(1), pages 1-18, March.
    9. Matthew Gentzkow, 2007. "Valuing New Goods in a Model with Complementarity: Online Newspapers," American Economic Review, American Economic Association, vol. 97(3), pages 713-744, June.
    10. Lavergne, Pascal & Patilea, Valentin, 2013. "Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory," Journal of Econometrics, Elsevier, vol. 177(1), pages 47-59.
    11. Greg Kaplan, 2012. "Inequality and the life cycle," Quantitative Economics, Econometric Society, vol. 3(3), pages 471-525, November.
    12. Epstein, Larry G. & Zin, Stanley E., 2001. "The independence axiom and asset returns," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 537-572, December.
    13. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research.
    14. Kato, Kengo & F. Galvao, Antonio & Montes-Rojas, Gabriel V., 2012. "Asymptotics for panel quantile regression models with individual effects," Journal of Econometrics, Elsevier, vol. 170(1), pages 76-91.
    15. Freyberger, Joachim, 2015. "Asymptotic theory for differentiated products demand models with many markets," Journal of Econometrics, Elsevier, vol. 185(1), pages 162-181.
    16. Rania Gihleb & Osnat Lifshitz, 2022. "Dynamic Effects of Educational Assortative Mating on Labor Supply," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 46, pages 302-327, October.
    17. Nicholas Economides & Przemyslaw Jeziorski, 2017. "Mobile Money in Tanzania," Marketing Science, INFORMS, vol. 36(6), pages 815-837, November.
    18. Sanghamitra Bandyopadhyay & Joan Esteban, 2009. "Redistributive Taxation, PublicExpenditure and the Size of Government," STICERD - Distributional Analysis Research Programme Papers 095, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    19. Khan, Shakeeb & Tamer, Elie, 2007. "Partial rank estimation of duration models with general forms of censoring," Journal of Econometrics, Elsevier, vol. 136(1), pages 251-280, January.
    20. Lapo Filistrucchi & Tobias J. Klein, 2013. "Price Competition in Two-Sided Markets with Heterogeneous Consumers and Network Effects," Working Papers 13-20, NET Institute.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2006-10. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Secretariat General (email available below). General contact details of provider: https://edirc.repec.org/data/crestfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.