Winsorized Mean Estimator for Censored Regression

B-Tier
Journal: Econometric Theory
Year: 1992
Volume: 8
Issue: 3
Pages: 368-382

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We introduce a semiparametric estimator for the censored linear regression model. It is based on the regression version of Huber's [6] M-estimator. It includes Powell's [19] censored least absolute deviations estimator as a special case and is related to Powell's [20] symmetrically censored least-squares estimator. We prove strong consistency and derive its asymptotic distribution which is √n-consistent with an easily computable covariance matrix. A small-scale simulation study shows that it works quite well in various cases.

Technical Details

RePEc Handle
repec:cup:etheor:v:8:y:1992:i:03:p:368-382_01
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25