SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR CENSORED REGRESSION MODEL

B-Tier
Journal: Econometric Theory
Year: 2001
Volume: 17
Issue: 3
Pages: 567-590

Authors (2)

Chen, Songnian (not in RePEc) Khan, Shakeeb (Boston College)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

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

Abstract

In this paper we propose an estimation procedure for a censored regression model where the latent regression function has a partially linear form. Based on a conditional quantile restriction, we estimate the model by a two stage procedure. The first stage nonparametrically estimates the conditional quantile function at in-sample and appropriate out-of-sample points, and the second stage involves a simple weighted least squares procedure. The proposed procedure is shown to have desirable asymptotic properties under regularity conditions that are standard in the literature. A small scale simulation study indicates that the estimator performs well in moderately sized samples.

Technical Details

RePEc Handle
repec:cup:etheor:v:17:y:2001:i:03:p:567-590_17
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25