Robust estimation based on grouped-adjusted data in censored regression models

DOI10.1016/0304-4076(90)90124-CMaRDI QIDQ2640285zbMATH OpenOpenAlexFDO

Authors Kazumitsu Nawata

Publication date 1990

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

Full work available at URL https://doi.org/10.1016/0304-4076(90)90124-c

zbMATH Keywords

asymptotic normalityCauchycensored regression modelconsistencycontaminationdata groupingdegrees of censoringheteroscedasticityLaplacemaximum likelihood estimatormediansMonte Carlononnormalityordinary multiple linear regression modelrobust estimationslope parameterTobit MLEweighted Tobit MLE

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Review text

The censored regression model is defined as an ordinary multiple linear regression model, but the dependent variable \(y^*_ j\) can not be observed if \(y_ j^*<0\). Thus, observations are made on \(y_ j=\max (y^*_ j,0)\). Several estimators of the parameter vector have been proposed. One is the maximum likelihood estimator, also known as the Tobit MLE. In this article, an alternative estimator is proposed. The merits of the new estimator compared to the older are that the new estimator is consistent and asymptotically normally distributed even under heteroscedasticity and nonnormally distributed error terms. The computational efforts seem also to be reduced for the new estimator compared to some of the older. The estimation procedure consists of two stages. In the first stage the sample space of the independent variables is divided into a number of cells and the median of the dependent variable is computed for each cell. A special procedure described is used if more than 50 \% of the observations are censored in a cell. In the second stage a weighted Tobit MLE is applied to the medians from the first stage. Under a set of assumptions consistency and asymptotic normality are proved. A Monte Carlo experiment is also conducted in order to illustrate the effects of nonnormality and heteroscedasticity. A simple linear model with fixed values on the independent variable and a fixed value on the slope parameter is used in the simulation. For studying the effects of nonnormality three different error distributions are used: the Cauchy, Laplace, and normal distribution. Two degrees of censoring are used: 25 \% and 50 \%. The intercept is set equal to -10.0 when the censoring is 50 \%, while in the 25 \% censoring case the intercept is set equal to - 1.6 when the error term distribution is Cauchy, equal to -2.09 for the Laplace distribution, and -2.94 for the normal distribution. Unfortunately, this design opens up the possibility of contamination between some of the ``treatments in the experiment. A similar contamination problem is also apparent in the design for studying the effects of heteroscedasticity. Therefore, the results from the experiments must be considered to be of very limited value. The situation does not become clearer when we learn from the article that the design is styled after previously published studies.

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Cites work

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• Maximum score estimation of the stochastic utility model of choice
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• Robust estimation based on grouped-adjusted data in linear regression models

Cited in

(13)

• Pairwise difference estimators of censored and truncated regression models
• Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons
• Estimation and inference with censored and ordered multinomial response data
• Estimating censored regression models in the presence of nonparametric multiplicative hetero\-skedasticity.
• Quantile regression under random censoring.
• Recent contributions to censored regression models
• Censored regression quantiles with endogenous regressors
• Estimation efficiency in lifetime regression models when responses are censored or grouped
• scientific article; zbMATH DE number 1268184 (Why is no real title available?)
• Heteroscedasticity and distributional assumptions in the censored regression model
• Two-stage rank estimation of quantile index models
• Two-step estimation of semiparametric censored regression models
• Generalized M-estimators for high-dimensional Tobit I models

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