Local polynomial regression with truncated or censored response
2009 (English)Report (Other academic)
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.
Place, publisher, year, edition, pages
Uppsala: Institute for Labour Market Policy Evaluation , 2009. , 18 p.
, IFAU Working Paper, ISSN 1651-1166 ; 2009:25
Non-parametric regression, truncation, censoring, asymptotic properties
Probability Theory and Statistics
Research subject Statistics
IdentifiersURN: urn:nbn:se:umu:diva-31770OAI: oai:DiVA.org:umu-31770DiVA: diva2:294151