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Semiparametric linear regression with censored data and stochastic regressors

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  • Mora, Juan

Abstract

We propose three new estimation procedures in the linear regression model with randomly-right censored data when the distribution function of the error term is unspecified, regressors are stochastic and the distribution function of the censoring variable is not necessarily the same for all observations ("unequal censoring"). The proposed procedures are derived combining techniques which produce accurate estimates with "equal censoring" with kernel-conditionalı Kaplan-Meier estimates. The performance of six estimation procedures (the three proposed methods and three alternative ones) is compared by means of some Monte Carlo experiments.

Suggested Citation

  • Mora, Juan, 1994. "Semiparametric linear regression with censored data and stochastic regressors," DES - Working Papers. Statistics and Econometrics. WS 3954, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:3954
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    References listed on IDEAS

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    1. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
    2. Heckman, James J & Walker, James R, 1990. "The Relationship between Wages and Income and the Timing and Spacing of Births: Evidence from Swedish Longitudinal Data," Econometrica, Econometric Society, vol. 58(6), pages 1411-1441, November.
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