Semiparametric econometric estimators for a truncated regression model

A review with an extension

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

Econometric estimators for a truncated regression model are reviewed. For each estimator, the motivations, the key assumptions, the asymptotic distribution and estimates for the asymptotic variance matrix are presented; also a new estimator is suggested. We select five practical estimators among those, and compare them through a Monte Carlo study where the response variable is simulated but the covariates are drawn from a real data set. Some practical and computational issues are addressed as well.

Original languageEnglish
Pages (from-to)200-225
Number of pages26
JournalStatistica Neerlandica
Volume52
Issue number2
Publication statusPublished - 1998 Jul 1
Externally publishedYes

Fingerprint

Econometrics
Regression Model
Estimator
Asymptotic Estimates
Asymptotic Variance
Monte Carlo Study
Asymptotic distribution
Covariates
Review
Regression model
Truncated regression

Keywords

  • Robustness
  • Semiparametric
  • Truncated

ASJC Scopus subject areas

  • Statistics and Probability

Cite this

Semiparametric econometric estimators for a truncated regression model : A review with an extension. / Lee, Myoung-jae; Kim, H.

In: Statistica Neerlandica, Vol. 52, No. 2, 01.07.1998, p. 200-225.

Research output: Contribution to journalArticle

@article{1e110b3efb9a4a32b37df98f274cc985,
title = "Semiparametric econometric estimators for a truncated regression model: A review with an extension",
abstract = "Econometric estimators for a truncated regression model are reviewed. For each estimator, the motivations, the key assumptions, the asymptotic distribution and estimates for the asymptotic variance matrix are presented; also a new estimator is suggested. We select five practical estimators among those, and compare them through a Monte Carlo study where the response variable is simulated but the covariates are drawn from a real data set. Some practical and computational issues are addressed as well.",
keywords = "Robustness, Semiparametric, Truncated",
author = "Myoung-jae Lee and H. Kim",
year = "1998",
month = "7",
day = "1",
language = "English",
volume = "52",
pages = "200--225",
journal = "Statistica Neerlandica",
issn = "0039-0402",
publisher = "Wiley-Blackwell",
number = "2",

}

TY - JOUR

T1 - Semiparametric econometric estimators for a truncated regression model

T2 - A review with an extension

AU - Lee, Myoung-jae

AU - Kim, H.

PY - 1998/7/1

Y1 - 1998/7/1

N2 - Econometric estimators for a truncated regression model are reviewed. For each estimator, the motivations, the key assumptions, the asymptotic distribution and estimates for the asymptotic variance matrix are presented; also a new estimator is suggested. We select five practical estimators among those, and compare them through a Monte Carlo study where the response variable is simulated but the covariates are drawn from a real data set. Some practical and computational issues are addressed as well.

AB - Econometric estimators for a truncated regression model are reviewed. For each estimator, the motivations, the key assumptions, the asymptotic distribution and estimates for the asymptotic variance matrix are presented; also a new estimator is suggested. We select five practical estimators among those, and compare them through a Monte Carlo study where the response variable is simulated but the covariates are drawn from a real data set. Some practical and computational issues are addressed as well.

KW - Robustness

KW - Semiparametric

KW - Truncated

UR - http://www.scopus.com/inward/record.url?scp=0032368918&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0032368918&partnerID=8YFLogxK

M3 - Article

VL - 52

SP - 200

EP - 225

JO - Statistica Neerlandica

JF - Statistica Neerlandica

SN - 0039-0402

IS - 2

ER -