, Eva Cantoni
and Xavier de Luna
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.
18 pages, December 14, 2009
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