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Sequential estimation of censored quantile regression models

Songnian Chen

Journal of Econometrics, 2018, vol. 207, issue 1, 30-52

Abstract: In this paper we propose sequential censored quantile regression (SCQR) and sequential instrumental variables censored quantile regression estimators (SIVCQR). We effectively transform the difficult censored quantile regression and censored instrumental variables quantile regression problems into more standard QR and IVQR procedures, consequently, our approaches make the quantile regression techniques for censored data easily accessible to applied researchers. Simulation results show that both estimators perform well.

Keywords: Quantile regression; Instrumental variable; Censoring (search for similar items in EconPapers)
JEL-codes: C14 C21 C24 C26 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:207:y:2018:i:1:p:30-52

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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