Local likelihood estimation of truncated regression and its partial derivatives: theory and application
In this paper we propose a very flexible estimator in the context of truncated regression that does not require parametric assumptions. To do this, we adapt the theory of local maximum likelihood estimation. We provide the asymptotic results and illustrate the performance of our estimator on simulated and real data sets. Our estimator performs as good as the fully parametric estimator when the assumptions for the latter hold, but as expected, much better when they do not (provided that the curse of dimensionality problem is not the issue). Overall, our estimator exhibits a fair degree of robustness to various deviations from linearity in the regression equation and also to deviations from the specification of the error term. So the approach shall prove to be very useful in practical applications, where the parametric form of the regression or of the distribution is rarely known.
|Date of creation:||19 Mar 2006|
|Publication status:||Published in Journal of Econometrics 146.1(2008): pp. 185-198|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- Arthur Lewbel & Oliver Linton, 2002.
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