Low dimensional semiparametric estimation in a censored regression model |
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Authors: | Ignacio Moral-Arce Juan M Rodríguez-PóoStefan Sperlich |
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Institution: | a Instituto de Estudios Fiscales, 28035 Madrid, Spainb Instituto Cantabro de Estadística (ICANE), Santander, Spainc Université de Genève, Département d’économétrie Bd du Pont d’Arve 40, CH-1204 Genève, Switzerland |
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Abstract: | A new estimation procedure for a partial linear additive model with censored responses is proposed. To this aim, ideas of Lewbel and Linton A. Lewbel, O. Linton, Nonparametric censored and truncated regression, Econometrica 70 (2002) 765-779] on censored model regression are combined with those of Kim et al. W. Kim, O. Linton, N.W. Hengartner, A computationally efficient estimator for additive nonparametric regression with bootstrap confidence intervals, Journal of Computational and Graphical Statistics, 8 (1999) 278-297] on marginal integration and those on average derivatives. This allows for dimension reduction, interpretability and — depending on the context — for weights yielding computationally attractive estimates. Asymptotic behavior is provided for all proposed estimators. |
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Keywords: | 62E20 62F12 62G20 |
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