Quantile regression under random censoring.

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