Scandinavian Working Papers in Economics

Working Paper Series,
IFAU - Institute for Evaluation of Labour Market and Education Policy

No 2009:25: Local polynomial regression with truncated or censored response

Maria Karlsson , Eva Cantoni and Xavier de Luna ()
Additional contact information
Maria Karlsson: Department of Statistics, Umeå University, Postal: S-901 87 Umeå, Sweden
Eva Cantoni: Department of Econometrics, University of Geneva, Postal: Bd Pont D'Arve 40, 1211 Geneva 4, Switzerland
Xavier de Luna: Department of Statistics, Umeå University, Postal: S-901 87 Umeå, Sweden

Abstract: Truncation or censoring of the response variable in a regression model is a problem in many applications, e.g. when the response is insurance claims or the durations of unemployment spells. We introduce a local polynomial re­gression estimator which can deal with such truncated or censored responses. For this purpose, we use local versions of the STLS and SCLS estimators of Powell (1986) and the QME estimator of Lee (1993) and Laitila (2001). The asymptotic properties of our estimators, and the conditions under which they are valid, are given. In addition, a simulation study is presented to investigate the finite sample properties of our proposals.

Keywords: Non-parametric regression; truncation; censoring; asymptotic properties

JEL-codes: C14

18 pages, December 14, 2009

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