Simple resampling methods for censored regression quantiles

Journal of Econometrics

Volumn 99, Issue 2, 2000, Pages 373-386

  Bilias, Yannis ^a,b   Chen, Songnian ^c   Ying, Zhiliang ^d  

^a IOWA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF CYPRUS   (Cyprus)

^c HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^d RUTGERS UNIVERSITY   (United States)

Author keywords

Censored regression quantiles; Least absolute deviation; Linear programming; Resampling

Indexed keywords

EID: 0000540160     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(00)00042-7     Document Type: Article

References (29)

1. 1 linear approximation. SIAM Journal of Numerical Analysis 10, 839-848.
2. Buchinsky, M., 1994. Changes in the U.S. wage structure 1963-1987: application of quantile regression. Econometrica 62, 405-458.
3. Buchinsky, M., 1995. Estimating the asymptotic covariance matrix for quantile regression models: a Monte Carlo study. Journal of Econometrics 68, 303-338.
4. Buchinsky, M., 1998. Recent advances in quantile regression models. The Journal of Human Resources 27, 88-126.
5. Buchinsky, M., Hahn, J., 1998. An alternative estimator for the censored quantile regression model. Econometrica 66, 653-671.
6. Chamberlain, G., 1994. Quantile regression, censoring, and the structure of wages. In: Sims, C. (Ed.), Advances in Econometrics, Sixth World Congress, Vol. 1. Cambridge University Press, New York, pp. 171-209.
7. Chay, K., Honoré, B., 1998. Estimation of semiparametric censored regression models: an application to changes in black-white earnings inequality during the 1960s. The Journal of Human Resources 27, 4-38.
8. Chernozhukov, V., Hong, H., 1999. Censored quantile regression with the extreme quantile estimate of the unknown censoring points, unpublished manuscript.
9. Efron, B., Tibshirani, R.J., 1993. An Introduction to the Bootstrap. Chapman & Hall, London.
10. Fitzenberger, B., 1997. A guide to censored quantile regressions. In: Maddala, G.S., Rao, C.R. (Eds.), Handbook of Statistics, Robust Inference, Vol. 15. North-Holland, Amsterdam, pp. 405-437.
11. Fitzenberger, B., 1998. The moving blocks bootstrap and robust inference for linear least squares and quantile regression. Journal of Econometrics 2, 235-288.
12. Fitzenberger, B., Winker, P., 1999. Improving the computation of censored quantile regressions, unpublished manuscript.
13. Giné, E., Zinn, J., 1990. Bootstrapping general empirical measures. The Annals of Probability 18, 851-869.
14. Hahn, J., 1995. Bootstrapping quantile regression estimators. Econometric Theory 11, 105-121.
15. Horowitz, J.L., Neumann, G.R., 1987. Semiparametric estimation of employment duration models. Econometric Reviews 6, 5-40.
16. Khan, S., Powell, J., 1998. 2-step estimation of semiparametric censored regression models, unpublished manuscript.
17. Koenker, R., Bassett, G.S., 1978a. Regression quantiles. Econometrica 46, 33-50.
18. Koenker, R., Bassett, G.S., 1978b. The asymptotic distribution of the least absolute error estimator. Journal of the American Statistical Association 73, 618-622.
19. Koenker, R., Bassett, G.S., 1982. Robust tests for heteroscedasticity based on regression quantiles. Econometrica 50, 43-61.
20. Koenker, R., Park, B.J., 1996. An interior point algorithm for nonlinear quantile regression. Journal of Econometrics 71, 265-283.
21. Melenberg, B., van Soest, A., 1996. Parametric and semiparametric modeling of vacation expenditures. Journal of Applied Econometrics 11, 59-76.
22. Newey, W.K., McFadden, D., 1994. Large sample estimation and hypothesis testing. In: Engle, R., McFadden, D. (Eds.), Handbook of Econometrics, Vol. 4. North-Holland, Amsterdam, pp. 2111-2245.
23. Parzen, M.I., Wei, L.J., Ying, Z., 1994. A resampling method based on pivotal estimation functions. Biometrika 81, 341-350.
24. Pakes, A., Pollard, D., 1989. Simulation and the asymptotics of optimization estimators. Econometrica 57, 1027-1057.
25. Pollard, D., 1990. Empirical Processes: Theory and Applications. Regional Conference Series in Probability and Statistics, Vol. 2. Institute of Mathematical Statistics, Hayward.
26. Powell, J., 1984. Least absolute deviations estimation for the censored regression model. Journal of Econometrics 25, 303-325.
27. Powell, J., 1986. Censored Regression Quantiles. Journal of Econometrics 32, 143-155.
28. Sherman, R.P., 1993. The Limiting Distribution of the Maximum Rank Correlation Estimator. Econometrica 61, 123-137.
29. 1 approximation. SIAM, Journal of Scientific and Statistical Computing 7, 105-122.