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Local polynomial regression with truncated or censored response

  • Karlsson, Maria

    (Department of Statistics, Umeå University)

  • Cantoni, Eva

    (Department of Econometrics, University of Geneva)

  • de Luna, Xavier

    ()

    (Department of Statistics, Umeå University)

Registered author(s):

    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.

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    File URL: http://www.ifau.se/upload/pdf/se/2009/wp09-25.pdf
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    Paper provided by IFAU - Institute for Evaluation of Labour Market and Education Policy in its series Working Paper Series with number 2009:25.

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    Length: 18 pages
    Date of creation: 14 Dec 2009
    Date of revision:
    Handle: RePEc:hhs:ifauwp:2009_025
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    1. Arthur Lewbel & Oliver Linton, 2002. "Nonparametric Censored and Truncated Regression," Econometrica, Econometric Society, vol. 70(2), pages 765-779, March.
    2. 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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