Winsorized mean estimator for censored regression

Research output: Contribution to journalArticle

14 Citations (Scopus)

Abstract

We introduce a semiparametric estimator for the censored linear regression model. It is based on the regression version of Huber's [6] M-estimator. It includes Powell's [19] censored least absolute deviations estimator as a special case and is related to Powell's [20] symmetrically censored least-squares estimator. We prove strong consistency and derive its asymptotic distribution which is √n-consistent with an easily computable covariance matrix. A small-scale simulation study shows that it works quite well in various cases.

Original languageEnglish
Pages (from-to)368-382
Number of pages15
JournalEconometric Theory
Volume8
Issue number3
DOIs
Publication statusPublished - 1992
Externally publishedYes

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regression
simulation
M-estimator
Deviation
Estimator
Simulation study
Semiparametric estimators
Hub
Linear regression model
Asymptotic distribution
Covariance matrix
Censored regression
Least squares estimator
Strong consistency

ASJC Scopus subject areas

  • Economics and Econometrics
  • Social Sciences (miscellaneous)

Cite this

Winsorized mean estimator for censored regression. / Lee, Myoung-jae.

In: Econometric Theory, Vol. 8, No. 3, 1992, p. 368-382.

Research output: Contribution to journalArticle

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