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Estimators of semiparametric truncated and censored regression models
Umeå universitet, Samhällsvetenskaplig fakultet, Statistik.
2005 (engelsk)Doktoravhandling, med artikler (Annet vitenskapelig)
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.

sted, utgiver, år, opplag, sider
Umeå: Umeå universitet , 2005. , s. 25
Serie
Statistical studies, ISSN 1100-8989 ; 34
Emneord [en]
Statistics, LTRC, consistency, asymtotic normality, bootstrap, interpurchase intervals
Emneord [sv]
Statistik
HSV kategori
Forskningsprogram
statistik
Identifikatorer
URN: urn:nbn:se:umu:diva-540ISBN: 91-7305-891-2 (tryckt)OAI: oai:DiVA.org:umu-540DiVA, id: diva2:143771
Utgiver:
Statistik, 90187, Umeå
Disputas
2005-06-03, N450, Naturvetarhuset, Umeå Universitet, Umeå, 10:15 (engelsk)
Opponent
Veileder
Tilgjengelig fra: 2005-05-16 Laget: 2005-05-16 Sist oppdatert: 2018-06-09bibliografisk kontrollert
Delarbeid
1. Finite sample properties of the QME
Åpne denne publikasjonen i ny fane eller vindu >>Finite sample properties of the QME
2004 (engelsk)Inngår i: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 33, nr 3, s. 567-583Artikkel i tidsskrift (Fagfellevurdert) 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.

Emneord
Truncated regression, semi-parameteric estimators, simulation, bootstrap, covariance matrix estimation
Identifikatorer
urn:nbn:se:umu:diva-4604 (URN)10.1081/SAC-200033267 (DOI)2-s2.0-6344223132 (Scopus ID)
Tilgjengelig fra: 2005-05-16 Laget: 2005-05-16 Sist oppdatert: 2023-03-23bibliografisk kontrollert
2. Estimators of regression parameters for truncated and censored data
Åpne denne publikasjonen i ny fane eller vindu >>Estimators of regression parameters for truncated and censored data
2006 (engelsk)Inngår i: Metrika, ISSN 1435-926X, Vol. 63, nr 3, s. 329-341Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

Estimators of parameters in semi-parametric left truncated and right censored regression models are proposed. In contrast to the majority of existing estimators, the proposed estimators do not require the error term of the regression model to have a symmetric distribution. In addition the estimators use asymmetric “trimming” of observations. Consistency and asymptotic normality of the estimators are shown. Finite sample properties are considered in a small simulation study. For the left truncated case, an empirical application illustrates the usefulness of the estimator.

sted, utgiver, år, opplag, sider
SpringerLink, 2006
Emneord
Truncated, censored, semi-parametric, regression
Identifikatorer
urn:nbn:se:umu:diva-4605 (URN)10.1007/s00184-005-0023-x (DOI)2-s2.0-33646483641 (Scopus ID)
Merknad
Ändrat till published 21/8-09Tilgjengelig fra: 2005-05-16 Laget: 2005-05-16 Sist oppdatert: 2023-03-23bibliografisk kontrollert
3. A semiparametric regression estimator under left truncation and right censoring
Åpne denne publikasjonen i ny fane eller vindu >>A semiparametric regression estimator under left truncation and right censoring
2008 (engelsk)Inngår i: Statistics and Probability Letters, ISSN 0167-7152, E-ISSN 1879-2103, Vol. 78, nr 16, s. 2567-2571Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

An estimator is proposed for semiparametric linear regression models with left truncated and right censored dependent variables. The estimator is derived from a moment condition following the principles of Newey [Newey, W.K., 2001. Conditional moment restrictions in censored and truncated regression models. Econometric Theory 17, 863–888] on conditional moment conditions. Consistency of the estimator is shown and simulation is used for illustration of the small sample properties.

sted, utgiver, år, opplag, sider
Elsevier, 2008
Identifikatorer
urn:nbn:se:umu:diva-4606 (URN)10.1016/j.spl.2008.06.009 (DOI)2-s2.0-53249156016 (Scopus ID)
Merknad
Ändrat till publicerad artikel 21/8-09Tilgjengelig fra: 2005-05-16 Laget: 2005-05-16 Sist oppdatert: 2023-03-24bibliografisk kontrollert
4. Analysis of interpurchase intervals of cars using truncated and censored data
Åpne denne publikasjonen i ny fane eller vindu >>Analysis of interpurchase intervals of cars using truncated and censored data
2005 (engelsk)Manuskript (preprint) (Annet vitenskapelig)
Abstract [en]

Knowledge of consumer behaviour is important to companies and governmental authorities for, e.g, planning purposes. In this paper the relationship between interpurchase intervals of  cars and demographic and economic characteristics of the car owners are analysed. Data was collected within a panel study of households in Sweden. Due to the study design, data is left truncated and right censored. The degree of censoring was almost 80 percent which made estimation of the models challenging. Results show that income and age of the car owners are important for the length of the interpurchase intervals of cars. Moreover, the results imply that models recommended for interpurchase intervals of durable goods in general might be inappropriate for interpurchase intervals of cars. A generalized gamma distribution, which embeds several distributions, is used to model interpurchase intervals. Semiparametric models are also considered.

HSV kategori
Forskningsprogram
statistik
Identifikatorer
urn:nbn:se:umu:diva-4607 (URN)
Tilgjengelig fra: 2005-05-16 Laget: 2005-05-16 Sist oppdatert: 2024-07-04bibliografisk kontrollert

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