Abstract
We introduce a semiparametric estimator for the censored linear regression model. It is based on the regression version of Huber's [6] M-estimator. It includes Powell's [19] censored least absolute deviations estimator as a special case and is related to Powell's [20] symmetrically censored least-squares estimator. We prove strong consistency and derive its asymptotic distribution which is √n-consistent with an easily computable covariance matrix. A small-scale simulation study shows that it works quite well in various cases.
| Original language | English |
|---|---|
| Pages (from-to) | 368-382 |
| Number of pages | 15 |
| Journal | Econometric Theory |
| Volume | 8 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Sept 1992 |
| Externally published | Yes |
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics