Low dimensional semiparametric estimation in a censored regression model

Ignacio Moral-Arce, Juan M. Rodríguez-Póo and Stefan Sperlich ()

Journal of Multivariate Analysis, 2011, vol. 102, issue 1, 118-129

Abstract: A new estimation procedure for a partial linear additive model with censored responses is proposed. To this aim, ideas of Lewbel and Linton [A. Lewbel, O. Linton, Nonparametric censored and truncated regression, Econometrica 70 (2002) 765-779] on censored model regression are combined with those of Kim et al. [W. Kim, O. Linton, N.W. Hengartner, A computationally efficient estimator for additive nonparametric regression with bootstrap confidence intervals, Journal of Computational and Graphical Statistics, 8 (1999) 278-297] on marginal integration and those on average derivatives. This allows for dimension reduction, interpretability and -- depending on the context -- for weights yielding computationally attractive estimates. Asymptotic behavior is provided for all proposed estimators.

Keywords: Semiparametric; censored; regression; Partial; linear; additive; models; Marginal; integration (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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