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Local likelihood estimation of truncated regression and its partial derivatives: theory and application

  • Park, Byeong
  • Simar, Leopold
  • Zelenyuk, Valentin

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.

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File URL: http://mpra.ub.uni-muenchen.de/34686/1/MPRA_paper_34686.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34686.

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Date of creation: 19 Mar 2006
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Publication status: Published in Journal of Econometrics 146.1(2008): pp. 185-198
Handle: RePEc:pra:mprapa:34686
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Web page: http://mpra.ub.uni-muenchen.de

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  1. Simar, Leopold & Wilson, Paul W., 2007. "Estimation and inference in two-stage, semi-parametric models of production processes," Journal of Econometrics, Elsevier, vol. 136(1), pages 31-64, January.
  2. Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," Boston College Working Papers in Economics 439, Boston College Department of Economics.
  3. Valentin Zelenyuk & Vitaliy Zheka, 2006. "Corporate Governance and Firm’s Efficiency: The Case of a Transitional Country, Ukraine," Journal of Productivity Analysis, Springer, vol. 25(1), pages 143-157, 04.
  4. repec:cup:cbooks:9780521032032 is not listed on IDEAS
  5. Chambers, Robert G. & Chung, Yangho & Fare, Rolf, 1996. "Benefit and Distance Functions," Journal of Economic Theory, Elsevier, vol. 70(2), pages 407-419, August.
  6. S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
  7. Subodh Kumar & R. Robert Russell, 2002. "Technological Change, Technological Catch-up, and Capital Deepening: Relative Contributions to Growth and Convergence," American Economic Review, American Economic Association, vol. 92(3), pages 527-548, June.
  8. Kumbhakar, Subal C. & Park, Byeong U. & Simar, Leopold & Tsionas, Efthymios G., 2007. "Nonparametric stochastic frontiers: A local maximum likelihood approach," Journal of Econometrics, Elsevier, vol. 137(1), pages 1-27, March.
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