Semiparametric robust estimation of truncated and censored regression models

Pavel Cizek

Journal of Econometrics, 2012, vol. 168, issue 2, 347-366

Abstract: Many estimation methods of truncated and censored regression models such as the maximum likelihood and symmetrically censored least squares (SCLS) are sensitive to outliers and data contamination as we document. Therefore, we propose a semiparametric general trimmed estimator (GTE) of truncated and censored regression, which is highly robust but relatively imprecise. To improve its performance, we also propose data-adaptive and one-step trimmed estimators. We derive the robust and asymptotic properties of all proposed estimators and show that the one-step estimators (e.g., one-step SCLS) are as robust as GTE and are asymptotically equivalent to the original estimator (e.g., SCLS). The finite-sample properties of existing and proposed estimators are studied by means of Monte Carlo simulations.

Keywords: Asymptotic normality; Censored regression; One-step estimation; Robust estimation; Trimming; Truncated regression (search for similar items in EconPapers)
JEL-codes: C13 C14 C21 C24 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:168:y:2012:i:2:p:347-366

DOI: 10.1016/j.jeconom.2012.02.002

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