Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/45735
Year of Publication: 
2009
Series/Report no.: 
Working Paper No. 2009:25
Publisher: 
Institute for Labour Market Policy Evaluation (IFAU), Uppsala
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

Files in This Item:
File
Size
789.89 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.