Abstract:
Censored regression models have received a great deal of attention in both the theoretical
and applied econometric literature. Most of the existingestimation procedures for either
cross-sectional or panel data models are designed only for models with 7xed censoring. In this
paper, a new procedure for adaptingthese estimators designed for 7xed censoringto models
with random censoringis proposed. This procedure is then applied to the CLAD and quantile
estimators of Powell (J. Econom. 25 (1984) 303, 32 (1986a) 143) to obtain an estimator of
the coe?cients under a mild conditional quantile restriction on the error term that is applicable
to samples exhibiting7xed or random censoring. The resultingestimator is shown to have
desirable asymptotic properties, and performs well in a small-scale simulation study
