Winsorized Mean Estimator for Censored Regression
We introduce a semiparametric estimator for the censored linear regression model. It is based on the regression version of Huber's [6] M-estimator. It includes Powell's [19] censored least absolute deviations estimator as a special case and is related to Powell's [20] symmetrically censored least-squares estimator. We prove strong consistency and derive its asymptotic distribution which is √n-consistent with an easily computable covariance matrix. A small-scale simulation study shows that it works quite well in various cases.
Year of publication: |
1992
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Authors: | Lee, Myoung-Jae |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 8.1992, 03, p. 368-382
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
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