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Conditional Moment Restrictions In Censored And Truncated Regression Models

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  • Newey, Whitney K.

Abstract

Censored and truncated regression models with unknown distribution are important in econometrics. This paper characterizes the class of all conditional moment restrictions that lead to √n-consistent estimators for these models. The semiparametric efficiency bound for each conditional moment restriction is derived. In the case of a nonzero bound it is shown how an estimator can be constructed and that an appropriately weighted version can attain the efficiency bound. These estimators also work when the disturbance is independent of the regressors. The paper discusses combining conditional moment restrictions for more efficient estimation in this case.

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  • Newey, Whitney K., 2001. "Conditional Moment Restrictions In Censored And Truncated Regression Models," Econometric Theory, Cambridge University Press, vol. 17(5), pages 863-888, October.
    • Handle: RePEc:cup:etheor:v:17:y:2001:i:05:p:863-888_17
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    Cited by:

    1. Aktas, Nihat & de Bodt, Eric & Roll, Richard, 2013. "Learning from repetitive acquisitions: Evidence from the time between deals," Journal of Financial Economics, Elsevier, vol. 108(1), pages 99-117.
    2. Nicholas Brown & Jeffrey Wooldridge, 2023. "More Efficient Estimation of Multiplicative Panel Data Models in the Presence of Serial Correlation," Working Paper 1497, Economics Department, Queen's University.
    3. Frumento, Paolo & Bottai, Matteo, 2017. "An estimating equation for censored and truncated quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 53-63.
    4. Chen, Songnian & Zhou, Xianbo, 2012. "Semiparametric estimation of a truncated regression model," Journal of Econometrics, Elsevier, vol. 167(2), pages 297-304.
    5. Jonsson, Robert, 2008. "When does Heckman’s two-step procedure for censored data work and when does it not?," Research Reports 2008:2, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    6. Myoung-jae Lee & Maria Karlsson, 2015. "Trimmed and winsorized semiparametric estimator for left-truncated and right-censored regression models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(4), pages 485-495, May.
    7. Karlsson, Maria & Laitila, Thomas, 2008. "A semiparametric regression estimator under left truncation and right censoring," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2567-2571, November.

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