Estimating censored regression models in the presence of nonparametric multiplicative hetero\-skedasticity.

DOI10.1016/S0304-4076(00)00020-8zbMATH Open1079.62554MaRDI QIDQ1586550FDOQ1586550

Authors: Songnian Chen, Shakeeb Khan 

Publication date: 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Recommendations

• Heteroscedasticity and distributional assumptions in the censored regression model
• Censored regression quantiles
• Non-parametric maximum likelihood estimation of censored regression models
• Quantile regression under random censoring.
• Exact computation of censored least absolute deviations estimator

zbMATH Keywords

Multiplicative heteroskedasticityCensored regressionFull rank conditionHeavy censoring

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Estimation of Relationships for Limited Dependent Variables
• Least absolute deviations estimation for the censored regression model
• Censored regression quantiles
• Regression Quantiles
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Semiparametric Estimation of Index Coefficients
• On average derivative quantile regression
• Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression
• Nonparametric estimates of regression quantiles and their local Bahadur representation
• Two-step estimation of heteroskedastic sample selection models
• Pairwise difference estimators of censored and truncated regression models
• Efficiency of Weighted Average Derivative Estimators and Index Models
• Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons
• Symmetrically Trimmed Least Squares Estimation for Tobit Models
• An Alternative Estimator for the Censored Quantile Regression Model
• Global nonparametric estimation of conditional quantile functions and their derivatives
• Robust estimation based on grouped-adjusted data in censored regression models
• Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects
• A distribution-free least squares estimator for censored linear regression models
• Measuring the costs of children: parametric and semiparametric estimators1

Cited In (14)

• Nonparametric Estimation of the Multivariate Distribution Function in a Censored Regression Model with Applications
• EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL
• Conditional mean estimation under asymmetric and heteroscedastic error by linear combination of quantile regressions
• Shrinkage and Pretest Nonparametric Estimation of Regression Parameters from Censored Data with Multiple Observations at Each Level of Covariate
• Modified maximum likelihood estimator under the Jones and Faddy's skew t-error distribution for censored regression model
• Two-step estimation of semiparametric censored regression models
• Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models
• Fitting censored quantile regression by variable neighborhood search
• Laplace approximated quasi-likelihood method for heteroscedastic survival data
• A data-driven smooth test of symmetry
• Binary quantile regression with local polynomial smoothing
• LOCAL PARTITIONED QUANTILE REGRESSION
• SEMIPARAMETRIC ESTIMATION OF A HETEROSKEDASTIC SAMPLE SELECTION MODEL
• SEMIPARAMETRIC ESTIMATION OF NONSTATIONARY CENSORED PANEL DATA MODELS WITH TIME VARYING FACTOR LOADS

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