A semi-parametric censored regression estimator
type: Item
instance of: scholarly article
title: A semi-parametric censored regression estimator
zbMATH Open document ID: 0604.62062
DOI: 10.1016/0304-4076(86)90010-2
author: Gregory M. Duncan
published in: Journal of Econometrics
publication date: 1986-01-01T00:00:00Z
review text: In a censored regression model \(y_ i=X^ T_ i \beta +\epsilon_ i\), if \(\epsilon_ i>-X^ T_ i \beta\), \(i=1,...,N\), and \(y_ i=0\), otherwise, the \(\epsilon_ i\) are assumed to be i.i.d., absolutely continuous, \(E(\epsilon_ i)=0\), \(E(\epsilon^ 2_ i)=\sigma^ 2\). Their (unknown) density is approximated by splines (piecewise polynomials) with mesh size approaching 0 as \(N\to \infty\). A quasi maximum likelihood estimation method is applied to the whole set of parameters (usual unknown parameters and values of the density of \(\epsilon\) at the knots of the sieve). Strong consistency of parameter estimates is proved. Since a complete asymptotic distribution theory is unavailable, the performance of the method is presented on simulated data (comparison of various point estimates and bootstrapped confidence intervals).
reviewed by: Vidal Cohen
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 65D07
zbMATH DE Number: 3976128
zbMATH Keywords: semi-parametric method
zbMATH Keywords: estimating regression coefficient
zbMATH Keywords: method of sieves
zbMATH Keywords: spline approximation to density
zbMATH Keywords: censored regression model
zbMATH Keywords: quasi maximum likelihood estimation method
zbMATH Keywords: Strong consistency of parameter estimates
MaRDI profile type: Publication
full work available at URL: 0304-4076(86)90010-2
OpenAlex ID: W1996148734
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description: scientific article; zbMATH DE number 3976128