Empirical likelihood for median regression model with designed censoring variables

Pingshou Zhong and Hengjian Cui

Journal of Multivariate Analysis, 2010, vol. 101, issue 1, 240-251

Abstract: We propose a new and simple estimating equation for the parameters in median regression models with designed censoring variables, and then apply the empirical log likelihood ratio statistic to construct confidence region for the parameters. The empirical log likelihood ratio statistic is shown to have a standard chi-square distribution, which makes this method easy to implement. At the same time, another empirical log likelihood ratio statistic is proposed based on an existing estimating equation and the limiting distribution of the empirical likelihood ratio statistic is shown to be a sum of weighted chi-square distributions. We compare the performance of the empirical likelihood confidence region based on the new estimating equation, with that based on the existing estimating equation and a normal approximation method by simulation studies.

Keywords: Empirical; likelihood; Designed; censoring; Fixed; censoring; Median; regression; model; Confidence; region (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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