Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity

dc.contributor.author

Chen, S

dc.contributor.author

Khan, S

dc.date.accessioned

2010-03-09T15:29:52Z

dc.date.issued

2000-10-01

dc.description.abstract

Powell's (1984, Journal of Econometrics 25, 303-325) censored least absolute deviations (CLAD) estimator for the censored linear regression model has been regarded as a desirable alternative to maximum likelihood estimation methods due to its robustness to conditional heteroskedasticity and distributional mis specification of the error term. However, the CLAD estimation procedure has failed in certain empirical applications due to the restrictive nature of the 'full rank' condition it requires. This condition can be especially problematic when the data are heavily censored. In this paper we introduce estimation procedures for heteroskedastic censored linear regression models with a much weaker identification restriction than that required for the LCAD, and which are flexible enough to allow for various degrees of censoring. The new estimators are shown to have desirable asymptotic properties and perform well in small-scale simulation studies, and can thus be considered as viable alternatives for estimating censored regression models, especially for applications in which the CLAD fails. © 2000 Elsevier Science S.A. All rights reserved.

dc.format.mimetype

application/pdf

dc.identifier.issn

0304-4076

dc.identifier.uri

https://hdl.handle.net/10161/1919

dc.identifier.uri

http://dx.doi.org/10.1016/S0304-4076(00)00020-8

dc.language.iso

en_US

dc.publisher

Elsevier BV

dc.relation.ispartof

Journal of Econometrics

dc.title

Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity

dc.type

Journal article

pubs.begin-page

283

pubs.end-page

316

pubs.issue

2

pubs.organisational-group

Duke

pubs.organisational-group

Economics

pubs.organisational-group

Trinity College of Arts & Sciences

pubs.publication-status

Published

pubs.volume

98

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