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Nonparametric censored and truncated regression

Lewbel, Arthur and Linton, Oliver (2000) Nonparametric censored and truncated regression. Econometrics; EM/2000/389 (EM/00/389). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

The nonparametric censored regression model, with a fixed, known censoring point (normalized to zero), is y = max[0,m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown. This paper provides estimators of m(x) and its derivatives. The convergence rate is the same as for an uncensored nonparametric regression and its derivatives. We also provide root n estimates of weighted average derivatives of m(x), which equal the coefficients in linear or partly linearr specifications for m(x). An extension permits estimation in the presence of a general form of heteroscedasticity. We also extend the estimator to the nonparametric truncated regression model, in which only uncensored data points are observed. The estimators are based on the relationship E(yk\x)/m(x) = kE[yk-1/(y > 0)x ], which we show holds for positive integers k.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2000 the authors
Divisions: Financial Markets Group
Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C24 - Truncated and Censored Models
Date Deposited: 27 Apr 2007
Last Modified: 15 Sep 2023 22:47
URI: http://eprints.lse.ac.uk/id/eprint/2060

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