Censored multiple regression by the method of average derivatives

Journal of Multivariate Analysis

Volumn 95, Issue 1, 2005, Pages 182-205

  Lu, Xuewen ^a,b   Burke, M D ^b  

^a HUNAN NORMAL UNIVERSITY   (China)

^b UNIVERSITY OF CALGARY   (Canada)

Author keywords

Asymptotic normality; Average derivative; CADE regression; Censoring; Data transformation; Kernel smoothing; Local polynomial

Indexed keywords

EID: 18744362161     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmva.2004.06.007     Document Type: Article

References (39)

1. M. Buchinsky J. Hahn An alternative estimator for the censored quantile regression model Econometrica 66 1998 653-671
2. J. Buckley I.R. James Linear regression with censored data Biometrika 66 1979 429-436
3. G.M. Duncan A semi-parametric censored regression estimator J. Econometrics 32 1986 5-24
4. R. Eubank Spline Smoothing and Nonparametric Regression 1988 Marcel Dekker New York
5. J. Fan I. Gijbels Censored regression: Local linear approximations and their applications J. Amer. Statist. Assoc. 89 1994 560-570
6. L. Fernandez Non-parametric maximum likelihood estimation of censored regression models J. Econometrics 32 1986 35-57
7. J.H. Friedman W. Stuetzle Projection pursuit regression J. Amer. Statist. Assoc. 76 1981 817-823
8. T. Gasser H.G. Muller Estimating regression functions and their derivatives by the Kernel method Scand. J. Statist. 11 1984 171-185
9. R.D. Gill Censoring and Stochastic Integrals, Math. Centre Tract, vol. 124 1980 Math. Centrum Amsterdam
10. W. Härdle Applied Nonparametric Regression 1990 Cambridge University Press Cambridge
11. W. Härdle P. Hall H. Ichimura Optimal smoothing in single-index models Ann. Statist. 21 1993 157-178
12. W. Härdle J. Hart J.S. Marron A.B. Tsybakov Bandwidth choice for average derivative estimation J. Amer. Statist. Assoc. 87 1992 218-226
13. W. Härdle T.M. Stoker Investigating smooth multiple regression by the method of average derivative J. Amer. Statist. Assoc. 84 1989 986-995
14. J.L. Horowitz Semiparametric M-estimation of censored linear regression models Adv. Econometrics 7 1988 45-83
15. H. Ichimura Semiparametric least squares (SLS) and weighted SLS estimation of single-index models J. Econometrics 58 1993 71-129
16. H. Koul V. Susarla J. Van Ryzin Regression analysis with randomly right-censored data Ann. Statist. 9 1981 1276-1288
17. T.L. Lai Z. Ying Z. Zheng Asymptotic normality of a class of adaptive statistics with applications to synthetic data methods for censored regression J. Multivariate Anal. 52 1995 259-279
18. A. Lewbel Semiparametric latent variable model estimation with endogenous or mismeasured regressors Econometrica 66 1998 105-121
19. A. Lewbel O. Linton Nonparametric censored and truncated regression Econometrica 70 2002 765-779
20. K.C. Li J.L. Wang C.H. Chen Demendion reduction for censored regression data Ann. Statist. 27 1999 1-23
21. Q. Li X. Lu A. Ullah Multivariate local polynomial regression for estimating average derivatives J. Nonparametric Statist. 15 2003 607-624
22. H. Liang Y. Zhou Asymptotic normality in a semiparametric partial linear model with right-censored data Commun. Statist. Theory Methods 27 1998 2895-2907
23. E. Masry Multivariate regression estimation local polynomial fitting for time series Stochastic Process. Appl. 65 1996 81-101
24. E. Masry Multivariate local polynomial regression for time series: uniform strong consistency and rates J. Time Ser. Anal. 17 1996 571-599
25. E.A. Nadaraya On estimating regression Theory Probab. Appl. 9 1964 141-142
26. W.K. Newey T.M. Stoker Efficiency of weighted average derivative estimators and index models Econometrica 61 1993 1199-1223
27. A. Pagan A. Ullah Nonparametric Econometrics 1999 Cambridge University Press Cambridge
28. J.L. Powell Censored regression quantiles J. Econometrics 32 1986 143-155
29. J.L. Powell J.H. Stock T.M. Stoker Semiparametric estimation of index coefficients Econometrica 57 1989 1403-1430
30. P. Rilstone Nonparametric hypothesis testing with parametric rates of convergence Internat. Econom. Rev. 32 1991 209-227
31. P. Rilstone A. Ullah Nonparametric estimation of response coefficients Commun. Statist. 18 1989 2615-2627
32. Y. Ritov Estimation in a linear regression model with censored data Ann. Statist. 18 1990 303-328
33. R.S. Singh X. Lu Censored additive regression models In: A. Ullah A.T.K. Wan A. Chaturvedi (Eds.), Handbook of Applied Econometrics and Statistical Inference, Statistics: Textbooks and Monographs, vol. 165 2002 Dekker New York 143-157
34. T.M. Stoker Equivalence of direct, indirect and slope estimators of average derivatives in: W.A. Barnett J. Powell G. Tauchen (Eds.) Nonparametric and Semiparametric Methods in Econometrics and Statistics 1991 Cambridge University Press Cambridge
35. I. Van Keilegom M.G. Akritas Transfer of tail information in censored regression models Ann. Statist. 27 1999 1745-1784
36. Q.H. Wang Z.G. Zheng Asymptotic properties for the semiparametric regression model with randomly censored data Sci. China Ser. A 40 1997 945-957
37. G.S. Watson Smooth regression analysis Sankhyá Ser. A 26 1964 101-116
38. H. Zhao A.A. Tsiatis Estimating mean quality adjusted lifetime with censored data Sankhyā Ser. B 62 2000 175-188
39. M. Zhou Linear regression with censoring J. Multivariate Anal. 49 1994 179-201