An Alternative Estimator for the Censored Quantile Regression Model
Moshe Buchinsky () and
Econometrica, 1998, vol. 66, issue 3, 653-672
This paper introduces an alternative estimator for the linear censored quantile regression model. The estimator also applies to cases where the censoring point is unknown. Since the objective function is globally convex and the estimator is a solution to a linear programming problem, a global minimizer is obtained in a finite number of simplex iterations. The estimator has a square root of n-convergence rate and is asymptotically normal. A Monte Carlo study performed shows that the suggested estimator has very desirable small sample properties.
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