Semiparametric Robust Estimation of Truncated and Censored Regression Models

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Abstract

Many estimation methods of truncated and censored regression models such as the maximum likelihood and symmetrically censored least squares (SCLS) are sensitive to outliers and data contamination as we document. Therefore, we propose a semipara- metric general trimmed estimator (GTE) of truncated and censored regression, which is highly robust and relatively imprecise. To improve its performance, we also propose data-adaptive and one-step trimmed estimators. We derive the robust and asymptotic properties of all proposed estimators and show that the one-step estimators (e.g., one-step SCLS) are as robust as GTE and are asymptotically equivalent to the original estimator (e.g., SCLS). The infinite-sample properties of existing and proposed estimators are studied by means of Monte Carlo simulations.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages39
Volume2008-34
Publication statusPublished - 2008

Publication series

NameCentER Discussion Paper
Volume2008-34

Keywords

  • Asymptotic normality
  • censored regression
  • one-step estimation
  • robust esti- mation
  • trimming
  • truncated regression

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