SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR CENSORED REGRESSION MODEL
- 1 June 2001
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 17 (3) , 567-590
- https://doi.org/10.1017/s0266466601173032
Abstract
In this paper we propose an estimation procedure for a censored regression model where the latent regression function has a partially linear form. Based on a conditional quantile restriction, we estimate the model by a two stage procedure. The first stage nonparametrically estimates the conditional quantile function at in-sample and appropriate out-of-sample points, and the second stage involves a simple weighted least squares procedure. The proposed procedure is shown to have desirable asymptotic properties under regularity conditions that are standard in the literature. A small scale simulation study indicates that the estimator performs well in moderately sized samples.Keywords
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