Semiparametric Robust Estimation of Truncated and Censored Regression Models

CentER Discussion Paper Series No. 2008-34

39 Pages Posted: 2 Apr 2008

See all articles by Pavel Cizek

Pavel Cizek

Tilburg University - Department of Econometrics & Operations Research

Date Written: March 1, 2008

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 semiparametric 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 finite-sample properties of existing and proposed estimators are studied by means of Monte Carlo simulations.

Keywords: asymptotic normality, censored regression, one-step estimation, robust estimation, trimming, truncated regression

JEL Classification: C13, C14, C21, C24

Suggested Citation

Cizek, Pavel, Semiparametric Robust Estimation of Truncated and Censored Regression Models (March 1, 2008). CentER Discussion Paper Series No. 2008-34, Available at SSRN: https://ssrn.com/abstract=1115726 or http://dx.doi.org/10.2139/ssrn.1115726

Pavel Cizek (Contact Author)

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

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