Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions

Econometric Theory

Volumn 6, Issue 3, 1990, Pages 295-317

  Newey, Whitney K ^a   Powell, James L ^b  

^a PRINCETON UNIVERSITY   (United States)

^b Wisconsin Department Natural Rsrc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84971996019     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466600005284     Document Type: Article

References (37)

1. Abrazamar A. & Schmidt P. Further evidence on the robustness of the Tobit estimator to heteroscedasticity. Journal of Econometrics 17 (1981): 253–258.
2. Abrazamar A. & Schmidt P. An investigation of the robustness of the Tobit estimator to non-normality. Econometrica 50 (1982): 1055–1063.
3. Andrews D.W.K. Asymptotics for semiparametric models II: Stochastic equicontinuity. Mimeo, Cowles Foundation, Yale University, 1989.
4. Begun J., Hall W., Huang W., & Wellner J. Information and asymptotic efficiency in parametric-nonparametric models. Annals of Statistics 11 (1983): 432–452.
5. Bickel P. On adaptive estimation. Annals of Statistics 10 (1982): 647–671.
6. Bickel P., Klaassen Y. Ritov, & J. Wellner. Efficient and adaptive inference in semiparametric models. Monograph, forthcoming, 1990.
7. Buckley J. & James I. Linear regression with censored data. Biometrika 66 (1979): 429–436.
8. Carroll R.J. Adapting for heteroskedasticity in linear models. Annals of Statistics 10 (1982): 1224–1233.
9. Chamberlain G. Asymptotic efficiency in semiparametric models with censoring. Journal of Econometrics 32 (1986): 189–218.
10. Chamberlain G. Asymptotic efficiency in estimation with conditional moment restrictions. Journal of Econometrics 34 (1987): 305–334.
11. Cosslett S.R. Efficiency bounds for distribution-free estimators of the binary choice and censored regression models. Econometrica 55 (1987): 559–585.
12. Duncan G.M. A semiparametric censored regression estimator. Journal of Econometrics 32 (1986): 5–34.
13. Goldberger A.S. Abnormal selection bias. In Karlin S., (eds.), Studies in Econometrics, Time Series, and Multivariate Statistics. New York: Academic Press, 1983.
14. Hajek J. A characterization of limiting distributions of regular estimates. Z. Wahrscheinlichkeitstheorie verw. Ceb. 14 (1970): 323–330.
15. Hajek J. & Sidak Z. Theory of Rank Tests. New York: Academic Press, 1967.
16. Horowitz J.L. A distribution-free least squares estimator for censored linear regression models. Journal of Econometrics 32 (1986): 59–84.
17. Horowitz J.L. Semiparametric m-estimation of censored regression models, manuscript, Department of Economics, University of Iowa, 1987.
18. Hsieh D. & Manski C. Monte-Carlo evidence on adaptive maximum likelihood estimation of a regression. Annals of Statistics 15 (1987): 541–551.
19. Huber P. The behavior of maximum likelihood estimates under nonstandard conditions. Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability. Berkeley: University of California Press, 1967.
20. Ibragimov I.A. & Hasminskii R.Z. Statistical Estimation: Asymptotic Theory. New York: Springer-Verlag, 1981.
21. Koshevnik Y.A. & Levit B.Y. On a non-parametric analogue of the information matrix. Theory of Probability and Applications 21 (1976): 738–753.
22. Koul H., Suslara V., & Van Ryzin J. Regression analysis with randomly right censored data. Annals of Statistics 9 (1981): 1276–1288.
23. Newey W.K. Efficient estimation of models with conditional moment restrictions, manuscript, Department of Economics, Princeton University, 1987.
24. Newey W.K. Efficient estimation of semiparametric models via moment restrictions, manuscript, Department of Economics, Princeton University, 1988.
25. Newey W.K. Efficient estimation of Tobit models under symmetry. In Barnett W., Powell J.L., & Tauchen G. (eds.), Nonparametric and Semiparametric Methods in Econometrics and Statistics. Cambridge: Cambridge University Press, forthcoming.
26. Newey W.K. Semiparametric efficiency bounds. Journal of Applied Econometrics, forthcoming.
27. Pfanzagl J. Contributions to a General Asymptotic Statistical Theory. New York: Springer Verlag, 1982.
28. Pitman E.J.G. Some Basic Theory for Statistical Inference. London: Chapman and Hall, 1979.
29. Powell J.L. Least absolute deviations estimation for the censored regression model. Journal of Econometrics 25 (1984): 303–325.
30. Powell J.L. Censored regression quantiles. Journal of Econometrics 32 (1986): 143–155.
31. Powell J.L. Symmetrically trimmed least squares estimation for Tobit models. Econometrica 54 (1986): 1435–1460.
32. Ritov Y. Efficient and unbiased estimation in nonparametric linear regression with censored data, manuscript, Department of Statistics, UC Berkeley, 1984.
33. Ritov Y. Estimation in a linear regression model with censored data. Technical Report #114, Department of Statistics, UC Berkeley, 1987.
34. Robinson P. Asymptotically efficient estimation in the presence of heteroskedasticity of unknown form. Econometrica 55 (1987): 875–891.
35. Schick A. On asymptotically efficient estimation in semiparametric models. Annals of Statistics 14 (1986): 1139–1151.
36. Stein C. Efficient nonparametric testing and estimation. Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1. Berkeley: University of California Press, 1956.
37. Stone C. Consistent nonparametric regression. Annals of Statistics 5 (1977): 549–645.