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The nonparametric censored regression model is y = max[c, m(x) + e], where both the regression function m(x) and the … the derivatives of an uncensored nonparametric regression. We then estimate the regression function itself by solving the … usual estimators in uncensored nonparametric regression. We also provide root n estimates of weighted average derivatives of …
Persistent link: https://www.econbiz.de/10005593534
The nonparametric censored regression model, with a fixed, known censoring point (normalized to zero), is y = max[0,m … estimators of m(x) and its derivatives. The convergence rate is the same as for an uncensored nonparametric regression and its … heteroscedasticity. We also extend the estimator to the nonparametric truncated regression model, in which only uncensored data points …
Persistent link: https://www.econbiz.de/10005310378
In this note I show that a typo in Stata’s help file may have contributed in wrongly estimating marginal changes after truncated and censored regression models. This has significant implications for empirical practice and results from published studies may need to be reconsidered.
Persistent link: https://www.econbiz.de/10009294604
semiparametric general trimmed estimator (GTE) of truncated and censored regression, which is highly robust but relatively imprecise …
Persistent link: https://www.econbiz.de/10011052333
Many estimation methods of truncated and censored regression models such as the maximum likelihood and symmetrically censored least squares (SCLS) are sensitive to outliers and data contamination as we document. Therefore, we propose a semipara- metric general trimmed estimator (GTE) of...
Persistent link: https://www.econbiz.de/10011091424
estimation models. Parametric Engel curves are modelled using OLS, MM robust regression, and Tobit. Semiparametric Engel curves …
Persistent link: https://www.econbiz.de/10005574858
This paper proposes a semi-parametric approach to estimation in Tobit models. A generalized additive Tobit model of … presented here is non-parametric in two dimensions: first no distributional assumption is made for the error distribution, and … second, the demand equation is non-parametric with respect to price. We find that the elasticity of demand is substantially …
Persistent link: https://www.econbiz.de/10005758410
censored population. We then correct the derivative for the effects of the selection bias. We propose nonparametric and … semiparametric estimators for the derivative. As extensions, we discuss the cases of discrete regressors, measurement error in …
Persistent link: https://www.econbiz.de/10005463961
censored population. We then correct the derivative for the effects of the selection bias. We discuss nonparametric and … semiparametric estimators for the derivative. We also discuss the cases of discrete regressors and of endogenous regressors in both …
Persistent link: https://www.econbiz.de/10009003657
This paper provides a root-n consistent, asymptotically normal weighted least squares estimator of the coefficients in a truncated regression model. The distribution of the errors is unknown and permits general forms of unknown heteroskedasticity. Also provided is an instrumental variables based...
Persistent link: https://www.econbiz.de/10005027859