Bias-Corrected Quantile Regression Estimation of Censored Regression Models

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Abstract

Motivated by weak small-sample performance of the censored regression quantile estimator proposed by Powell (1986a), two- and three-step estimation methods were introduced for estimation of the censored regression model under conditional quantile restriction. While those stepwise estimators have been proven to be consistent and asymptotically normal, their finite sample performance greatly depends on the specification of an initial estimator that selects the subsample to be used in subsequent steps. In this paper, an alternative semiparametric estimator is introduced that does not involve a selection procedure in the first step. The proposed estimator is based on the indirect inference principle and is shown to be consistent and asymptotically normal under appropriate regularity conditions. Its performance is demonstrated and compared to existing methods by means of Monte Carlo simulations.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages45
Volume2014-060
Publication statusPublished - 6 Oct 2014

Publication series

NameCentER Discussion Paper
Volume2014-060

Fingerprint

Censored Regression
Quantile Estimation
Regression Estimation
Quantile Regression
Regression Model
Estimator
Indirect Inference
Regression Quantiles
Conditional Quantiles
Selection Procedures
Regularity Conditions
Small Sample
Monte Carlo Simulation
Specification
Restriction
Alternatives

Keywords

  • asymptotic normality
  • censored regression
  • indirect inference
  • quantile regression

Cite this

Cizek, P., & Sadikoglu, S. (2014). Bias-Corrected Quantile Regression Estimation of Censored Regression Models. (CentER Discussion Paper; Vol. 2014-060). Tilburg: Econometrics.
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Cizek, P & Sadikoglu, S 2014 'Bias-Corrected Quantile Regression Estimation of Censored Regression Models' CentER Discussion Paper, vol. 2014-060, Econometrics, Tilburg.

Bias-Corrected Quantile Regression Estimation of Censored Regression Models. / Cizek, P.; Sadikoglu, S.

Tilburg : Econometrics, 2014. (CentER Discussion Paper; Vol. 2014-060).

Research output: Working paperDiscussion paperOther research output

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T1 - Bias-Corrected Quantile Regression Estimation of Censored Regression Models

AU - Cizek, P.

AU - Sadikoglu, S.

PY - 2014/10/6

Y1 - 2014/10/6

N2 - Motivated by weak small-sample performance of the censored regression quantile estimator proposed by Powell (1986a), two- and three-step estimation methods were introduced for estimation of the censored regression model under conditional quantile restriction. While those stepwise estimators have been proven to be consistent and asymptotically normal, their finite sample performance greatly depends on the specification of an initial estimator that selects the subsample to be used in subsequent steps. In this paper, an alternative semiparametric estimator is introduced that does not involve a selection procedure in the first step. The proposed estimator is based on the indirect inference principle and is shown to be consistent and asymptotically normal under appropriate regularity conditions. Its performance is demonstrated and compared to existing methods by means of Monte Carlo simulations.

AB - Motivated by weak small-sample performance of the censored regression quantile estimator proposed by Powell (1986a), two- and three-step estimation methods were introduced for estimation of the censored regression model under conditional quantile restriction. While those stepwise estimators have been proven to be consistent and asymptotically normal, their finite sample performance greatly depends on the specification of an initial estimator that selects the subsample to be used in subsequent steps. In this paper, an alternative semiparametric estimator is introduced that does not involve a selection procedure in the first step. The proposed estimator is based on the indirect inference principle and is shown to be consistent and asymptotically normal under appropriate regularity conditions. Its performance is demonstrated and compared to existing methods by means of Monte Carlo simulations.

KW - asymptotic normality

KW - censored regression

KW - indirect inference

KW - quantile regression

M3 - Discussion paper

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BT - Bias-Corrected Quantile Regression Estimation of Censored Regression Models

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Cizek P, Sadikoglu S. Bias-Corrected Quantile Regression Estimation of Censored Regression Models. Tilburg: Econometrics. 2014 Oct 6. (CentER Discussion Paper).