dc.contributor.author |
Honoré, B |
|
dc.contributor.author |
Khan, S |
|
dc.contributor.author |
Powell, JL |
|
dc.date.accessioned |
2010-03-09T15:29:14Z |
|
dc.date.issued |
2002-07-01 |
|
dc.identifier.issn |
0304-4076 |
|
dc.identifier.uri |
https://hdl.handle.net/10161/1895 |
|
dc.description.abstract |
Censored regression models have received a great deal of attention in both the theoretical
and applied econometric literature. Most of the existing estimation procedures for
either cross-sectional or panel data models are designed only for models with fixed
censoring. In this paper, a new procedure for adapting these estimators designed for
fixed censoring to models with random censoring is 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 coefficients under a mild conditional quantile
restriction on the error term that is applicable to samples exhibiting fixed or random
censoring. The resulting estimator is shown to have desirable asymptotic properties,
and performs well in a small-scale simulation study. © 2002 Elsevier Science B.V.
All rights reserved.
|
|
dc.format.mimetype |
application/pdf |
|
dc.language.iso |
en_US |
|
dc.publisher |
Elsevier BV |
|
dc.relation.ispartof |
Journal of Econometrics |
|
dc.relation.isversionof |
10.1016/S0304-4076(01)00142-7 |
|
dc.title |
Quantile regression under random censoring |
|
dc.type |
Journal article |
|
duke.contributor.id |
Khan, S|0380552 |
|
pubs.begin-page |
67 |
|
pubs.end-page |
105 |
|
pubs.issue |
1 |
|
pubs.organisational-group |
Duke |
|
pubs.organisational-group |
Economics |
|
pubs.organisational-group |
Trinity College of Arts & Sciences |
|
pubs.publication-status |
Published |
|
pubs.volume |
109 |
|