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Finite sample properties of the QME
Umeå University, Faculty of Social Sciences, Department of Statistics.
2004 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 33, no 3, 567-583 p.Article in journal (Refereed) Published
Abstract [en]

Bias and MSE of the QME are studied by means of simulation. A bootstrap estimator of the QME covariance matrix is also included in the study. The simulation is based on travel distances reported in the Swedish Travel Habit Survey. The results are in accordance with the asymptotic properties of the QME. For example, the QME is better than other suggested estimators under asymmetric distributions of the error term. The results also suggest that the bootstrap technique is potentially useful for estimation of the QME covariance matrix.

Place, publisher, year, edition, pages
2004. Vol. 33, no 3, 567-583 p.
Keyword [en]
Truncated regression, semi-parameteric estimators, simulation, bootstrap, covariance matrix estimation
Identifiers
URN: urn:nbn:se:umu:diva-4604DOI: 10.1081/SAC-200033267OAI: oai:DiVA.org:umu-4604DiVA: diva2:143767
Available from: 2005-05-16 Created: 2005-05-16 Last updated: 2017-12-14Bibliographically approved
In thesis
1. Estimators of semiparametric truncated and censored regression models
Open this publication in new window or tab >>Estimators of semiparametric truncated and censored regression models
2005 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis contributes in several ways to the existing knowledge on estimation of truncated, censored, and left truncated right censored (LTRC) regression models. Three new semiparametric estimators are proposed, allowing for asymmetric error distributions. A bootstrap method for estimation of the covariance matrix of the quadratic mode estimator (QME) is proposed and studied. In addition, finite sample properties of estimators for truncated, censored, and LTRC data are studied within simulation studies and applications with real data.

The first paper consists of a simulation study of the QME and other estimators of truncated regression models. The paper contributes with results suggesting the bootstrap technique being potentially useful for estimation of the QME covariance matrix.

In the second paper estimators of truncated and censored semiparametric regression models are proposed. These estimators are generalizations of the QME and the winsorized mean estimator (WME) by allowing asymmetric ``trimming'' of observations. Consistency and asymptotic normality of the estimators are shown.

By combining the two moment restrictions used to derive the estimators in the second paper, a consistent estimator of LTRC regression models is proposed in the third paper.

The fourth paper contains an application where LTRC interpurchase intervals of cars are analysed. Results regarding the interpurchase behaviour of consumers are provided, as are results on estimator properties.

Place, publisher, year, edition, pages
Umeå: Umeå universitet, 2005. 25 p.
Series
Statistical studies, ISSN 1100-8989 ; 34
Keyword
Statistics, LTRC, consistency, asymtotic normality, bootstrap, interpurchase intervals, Statistik
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
urn:nbn:se:umu:diva-540 (URN)91-7305-891-2 (ISBN)
Distributor:
Statistik, 90187, Umeå
Public defence
2005-06-03, N450, Naturvetarhuset, Umeå Universitet, Umeå, 10:15 (English)
Opponent
Supervisors
Available from: 2005-05-16 Created: 2005-05-16 Last updated: 2009-08-21Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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  • vancouver
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