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Title:Local polynomial regression with truncated or censored response PDF Logo
Authors:Karlsson, Maria
Cantoni, Eva
de Luna, Xavier
Issue Date:2009
Series/Report no.:Working paper // IFAU - Institute for Labour Market Policy Evaluation 2009:25
Abstract:Truncation or censoring of the response variable in a regression model is a problem in many applications, e.g. when the response is insurance claims or the durations of unemployment spells. We introduce a local polynomial regression estimator which can deal with such truncated or censored responses. For this purpose, we use local versions of the STLS and SCLS estimators of Powell (1986) and the QME estimator of Lee (1993) and Laitila (2001). The asymptotic properties of our estimators, and the conditions under which they are valid, are given. In addition, a simulation study is presented to investigate the finite sample properties of our proposals.
Subjects:Non-parametric regression
Truncation
Censoring
Asymptotic properties
JEL:C14
Document Type:Working Paper
Appears in Collections:Working Papers, IFAU - Institute for Evaluation of Labour Market and Education Policy

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