Moment estimation for censored quantile regression

Qian Wang, Songnian Chen

Research output: Journal PublicationArticlepeer-review

4 Citations (Scopus)

Abstract

In influential articles Powell (Journal of Econometrics 25(3):303–325, 1984; Journal of Econometrics 32(1):143–155, 1986) proposed optimization-based censored least absolute deviations estimator (CLAD) and general censored quantile regression estimator (CQR). It has been recognized, however, that this optimization-based estimator may perform poorly in finite samples (e.g., Khan and Powell, Journal of Econometrics 103(1–2):73–110, 2001; Fitzenberger, Handbook of Statistics. Elsevier, 1996; Fitzenberger and Winker, Computational Statistics & Data Analysis 52(1):88–108, 2007; Koenker, Journal of Statistical Software 27(6), 2008). In this paper we propose a moment-based censored quantile regression estimator (MCQR). While both the CQR and MCQR estimators have the same large sample properties, our simulation results suggest certain advantage of our moment-based estimator (MCQR). In addition, the empirical likelihood methods for the uncensored model (e.g., Whang 2006; Otsu, Journal of Econometrics 142(1):508–538, 2008) can readily be adapted to the censored model within our method of moment estimation framework. When both censoring and endogeneity are present, we develop an instrumental variable censored quantile regression estimator (IVCQR) by combining the insights of Chernozhukov and Hansen’s (Journal of Econometrics 132(2):491–525, 2006; Journal of Econometrics 142(1):379–398, 2008) instrumental variables quantile regression estimator (IVQR) and the MCQR. Simulation results indicate that the IVCQR estimator performs well.

Original languageEnglish
Pages (from-to)815-829
Number of pages15
JournalEconometric Reviews
Volume40
Issue number9
DOIs
Publication statusPublished Online - 5 Aug 2021

Keywords

  • Quantile regression
  • censoring
  • moment condition

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Moment estimation for censored quantile regression'. Together they form a unique fingerprint.

Cite this