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Local polynomial regression with truncated or censored response
Umeå universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
University of Geneva, Department of Econometrics.
Umeå universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
2009 (engelsk)Rapport (Annet vitenskapelig)
Abstract [en]

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.

sted, utgiver, år, opplag, sider
Uppsala: Institute for Labour Market Policy Evaluation , 2009. , s. 18
Serie
IFAU Working Paper, ISSN 1651-1166 ; 2009:25
Emneord [en]
Non-parametric regression, truncation, censoring, asymptotic properties
HSV kategori
Forskningsprogram
statistik
Identifikatorer
URN: urn:nbn:se:umu:diva-31770OAI: oai:DiVA.org:umu-31770DiVA, id: diva2:294151
Tilgjengelig fra: 2010-02-16 Laget: 2010-02-16 Sist oppdatert: 2018-06-08bibliografisk kontrollert

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