Local polynomial regression with truncated or censored response
Truncation or censoring of the response variable in a regression model is a problem in many applications, e.g. when the response is insurance claims or the durations of unemployment spells. We introduce a local polynomial regression estimator which can deal with such truncated or censored responses. For this purpose, we use local versions of the STLS and SCLS estimators of Powell (1986) and the QME estimator of Lee (1993) and Laitila (2001). The asymptotic properties of our estimators, and the conditions under which they are valid, are given. In addition, a simulation study is presented to investigate the finite sample properties of our proposals.
|Date of creation:||14 Dec 2009|
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- Arthur Lewbel & Oliver Linton, 2000.
"Nonparametric Censored and Truncated Regression,"
Econometric Society World Congress 2000 Contributed Papers
1237, Econometric Society.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric censored and truncated regression," LSE Research Online Documents on Economics 2060, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," Boston College Working Papers in Economics 439, Boston College Department of Economics.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," STICERD - Econometrics Paper Series /2000/389, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Songnian Chen & Gordon B. Dahl & Shakeeb Khan, 2005. "Nonparametric Identification and Estimation of a Censored Location-Scale Regression Model," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 212-221, March.
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