Arbeitspapier
Local polynomial regression with truncated or censored response
Truncation or censoring of the response variable in a regression model is a problem in many applications, e.g. when the response is insurance claims or the durations of unemployment spells. We introduce a local polynomial regression estimator which can deal with such truncated or censored responses. For this purpose, we use local versions of the STLS and SCLS estimators of Powell (1986) and the QME estimator of Lee (1993) and Laitila (2001). The asymptotic properties of our estimators, and the conditions under which they are valid, are given. In addition, a simulation study is presented to investigate the finite sample properties of our proposals.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2009:25
- Classification
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
- Subject
-
Non-parametric regression
Truncation
Censoring
Asymptotic properties
Regression
Nichtparametrisches Verfahren
Schätztheorie
- Event
-
Geistige Schöpfung
- (who)
-
Karlsson, Maria
Cantoni, Eva
de Luna, Xavier
- Event
-
Veröffentlichung
- (who)
-
Institute for Labour Market Policy Evaluation (IFAU)
- (where)
-
Uppsala
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Karlsson, Maria
- Cantoni, Eva
- de Luna, Xavier
- Institute for Labour Market Policy Evaluation (IFAU)
Time of origin
- 2009
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