Pairwise Comparison Estimation of Censored Transformation Models
In this paper a pairwise comparison estimation procedure is proposed for the regression coefficients in a censored transformation model. The main advantage of the new estimator is that it can accommodate covariate dependent censoring without the requirement of smoothing parameters, trimming procedures, or stringent tail behavior restrictions. We also modify the pairwise estimator for other variations of the transformation model and propose estimators for the transformation function itself, as well as regression coefficients in heteroskedastic and panel data models. The estimators are shown to converge at the parametric (root-$n$) rate, and the results of a small scale simulation study indicate they perform well in finite samples. We illustrate our estimator using the Stanford Heart Transplant data and marriage length data from the CPS fertility supplement.
|Date of creation:||Oct 2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-37, January.
- Van den Berg, Gerard J., 2001.
"Duration models: specification, identification and multiple durations,"
Handbook of Econometrics,
in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460
- Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany.
- Chaudhuri, Probal, 1991. "Global nonparametric estimation of conditional quantile functions and their derivatives," Journal of Multivariate Analysis, Elsevier, vol. 39(2), pages 246-269, November.
- Honore, Bo & Khan, Shakeeb & Powell, James L., 2002. "Quantile regression under random censoring," Journal of Econometrics, Elsevier, vol. 109(1), pages 67-105, July.
- Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
- Horowitz, J. & Gorgens, T., 1995.
"Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable,"
95-15, University of Iowa, Department of Economics.
- Gorgens, Tue & Horowitz, Joel L., 1999. "Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 90(2), pages 155-191, June.
- Tue Gorgens & Joel L. Horowitz, 1996. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Econometrics 9603001, EconWPA.
- Han, Aaron K., 1987. "Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 303-316, July.
- Sherman, Robert P., 1994. "U-Processes in the Analysis of a Generalized Semiparametric Regression Estimator," Econometric Theory, Cambridge University Press, vol. 10(02), pages 372-395, June.
- Abrevaya, Jason, 1999. "Computation of the maximum rank correlation estimator," Economics Letters, Elsevier, vol. 62(3), pages 279-285, March.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
- repec:cup:etheor:v:10:y:1994:i:2:p:372-95 is not listed on IDEAS
- Abrevaya, Jason, 1999. "Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 93(2), pages 203-228, December.
- Ridder, Geert, 1990. "The Non-parametric Identification of Generalized Accelerated Failure-Time Models," Review of Economic Studies, Wiley Blackwell, vol. 57(2), pages 167-81, April.
When requesting a correction, please mention this item's handle: RePEc:roc:rocher:495. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gabriel Mihalache)
If references are entirely missing, you can add them using this form.