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Heteroskedasticity and Distributional Assumptions in the Censored Regression Model

McDonald, James B.; Nguyen, Hieu - Department of Economics, Brigham Young University - 2012

censored least squares (SCLS), and partially adaptive estimators. CLAD and SCLS will be consistent in the presence of …Data censoring causes ordinary least squares estimators of linear models to be biased and inconsistent. The Tobit …-normality or heteroskedasticity results in the Tobit estimators being inconsistent. Various estimators have been proposed for …

Persistent link: https://www.econbiz.de/10010902373

Nonparametric censored and truncated regression

Lewbel, Arthur; Linton, Oliver - London School of Economics (LSE) - 2000

The nonparametric censored regression model, with a fixed, known censoring point (normalized to zero), is y = max[0,m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown. This paper provides estimators of m(x) and its derivatives. The convergence rate...

Persistent link: https://www.econbiz.de/10010745070

(Re)estimating marginal changes after “truncreg” and “tobit” in Stata

Drichoutis, Andreas - Volkswirtschaftliche Fakultät, … - 2011

In this note I show that a typo in Stata’s help file may have contributed in wrongly estimating marginal changes after truncated and censored regression models. This has significant implications for empirical practice and results from published studies may need to be reconsidered.

Persistent link: https://www.econbiz.de/10009294604