Estimating censored regression models in the presence of nonparametric multiplicative hetero\-skedasticity.

DOI10.1016/S0304-4076(00)00020-8zbMath1079.62554MaRDI QIDQ1586550

Songnian Chen, Shakeeb Khan

Publication date: 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Multiplicative heteroskedasticityCensored regressionFull rank conditionHeavy censoring

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (11)

SEMIPARAMETRIC ESTIMATION OF A HETEROSKEDASTIC SAMPLE SELECTION MODEL ⋮ Fitting censored quantile regression by variable neighborhood search ⋮ Laplace approximated quasi-likelihood method for heteroscedastic survival data ⋮ LOCAL PARTITIONED QUANTILE REGRESSION ⋮ Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models ⋮ Binary quantile regression with local polynomial smoothing ⋮ Conditional mean estimation under asymmetric and heteroscedastic error by linear combination of quantile regressions ⋮ Two-step estimation of semiparametric censored regression models ⋮ A data-driven smooth test of symmetry ⋮ EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL ⋮ SEMIPARAMETRIC ESTIMATION OF NONSTATIONARY CENSORED PANEL DATA MODELS WITH TIME VARYING FACTOR LOADS

Cites Work

• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Estimation of Relationships for Limited Dependent Variables
• Nonparametric estimates of regression quantiles and their local Bahadur representation
• Least absolute deviations estimation for the censored regression model
• Censored regression quantiles
• A distribution-free least squares estimator for censored linear regression models
• Global nonparametric estimation of conditional quantile functions and their derivatives
• Pairwise difference estimators of censored and truncated regression models
• Two-step estimation of heteroskedastic sample selection models
• On average derivative quantile regression
• Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons
• Robust estimation based on grouped-adjusted data in censored regression models
• Symmetrically Trimmed Least Squares Estimation for Tobit Models
• Efficiency of Weighted Average Derivative Estimators and Index Models
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Regression Quantiles
• Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression
• An Alternative Estimator for the Censored Quantile Regression Model
• Measuring the costs of children: parametric and semiparametric estimators1
• Semiparametric Estimation of Index Coefficients

This page was built for publication: Estimating censored regression models in the presence of nonparametric multiplicative hetero\-skedasticity.