Winsorized Mean Estimator for Censored Regression
- 1 September 1992
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 8 (3) , 368-382
- https://doi.org/10.1017/s0266466600012986
Abstract
We introduce a semiparametric estimator for the censored linear regression model. It is based on the regression version of Huber's [6] M-estimator. It includes Powell's [19] censored least absolute deviations estimator as a special case and is related to Powell's [20] symmetrically censored least-squares estimator. We prove strong consistency and derive its asymptotic distribution which is √n-consistent with an easily computable covariance matrix. A small-scale simulation study shows that it works quite well in various cases.Keywords
This publication has 1 reference indexed in Scilit:
- Trimmed Least Squares Estimation in the Linear ModelJournal of the American Statistical Association, 1980