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Winsorized Mean Estimator for Censored Regression

Myoung-jae Lee
Econometric Theory
Vol. 8, No. 3 (Sep., 1992), pp. 368-382
Stable URL: http://www.jstor.org/stable/3532354
Page Count: 15
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Winsorized Mean Estimator for Censored Regression
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Abstract

We introduce a semiparametric estimator for the censored linear regression model. It is based on the regression version of Huber's [6] M-estimator. It includes Powell's [19] censored least absolute deviations estimator as a special case and is related to Powell's [20] symmetrically censored least-squares estimator. We prove strong consistency and derive its asymptotic distribution which is √n-consistent with an easily computable covariance matrix. A small-scale simulation study shows that it works quite well in various cases.

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