Semiparametric econometric estimators for a truncated regression model: a review with an extension |
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Authors: | M-J Lee & H Kim |
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Institution: | Department of Econometrics, Tilburg University, P.O. Box 90153, 5000 LE Tilburg, The Netherlands,;Samsung Economic Research Institue 250 Taepyungro-zga, Chung-ku Seoul, Korea |
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Abstract: | Econometric estimators for a truncated regression model are reviewed. For each estimator, the motivations, the key assumptions, the asymptotic distribution and estimates for the asymptotic variance matrix are presented; also a new estimator is suggested. We select five practical estimators among those, and compare them through a Monte Carlo study where the response variable is simulated but the covariates are drawn from a real data set. Some practical and computational issues are addressed as well. |
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Keywords: | truncated semiparametric robustness |
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