کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097341 1376583 2007 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Censored regression quantiles with endogenous regressors
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Censored regression quantiles with endogenous regressors
چکیده انگلیسی
This paper develops a semiparametric method for estimation of the censored regression model when some of the regressors are endogenous (and continuously distributed) and instrumental variables are available for them. A “distributional exclusion” restriction is imposed on the unobservable errors, whose conditional distribution is assumed to depend on the regressors and instruments only through a lower-dimensional “control variable,” here assumed to be the difference between the endogenous regressors and their conditional expectations given the instruments. This assumption, which implies a similar exclusion restriction for the conditional quantiles of the censored dependent variable, is used to motivate a two-stage estimator of the censored regression coefficients. In the first stage, the conditional quantile of the dependent variable given the instruments and the regressors is nonparametrically estimated, as are the first-stage reduced-form residuals to be used as control variables. The second-stage estimator is a weighted least squares regression of pairwise differences in the estimated quantiles on the corresponding differences in regressors, using only pairs of observations for which both estimated quantiles are positive (i.e., in the uncensored region) and the corresponding difference in estimated control variables is small. The paper gives the form of the asymptotic distribution for the proposed estimator, and discusses how it compares to similar estimators for alternative models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 141, Issue 1, November 2007, Pages 65-83
نویسندگان
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