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Pairwise Comparison Estimation of Censored Transformation Models

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Author Info
Shakeeb Khan () (University of Rochester)
Elie Tamer (Princeton)

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Abstract

In this paper a pairwise comparison estimation procedure is proposed for the regression coefficients in a censored transformation model. The main advantage of the new estimator is that it can accommodate covariate dependent censoring without the requirement of smoothing parameters, trimming procedures, or stringent tail behavior restrictions. We also modify the pairwise estimator for other variations of the transformation model and propose estimators for the transformation function itself, as well as regression coefficients in heteroskedastic and panel data models. The estimators are shown to converge at the parametric (root-$n$) rate, and the results of a small scale simulation study indicate they perform well in finite samples. We illustrate our estimator using the Stanford Heart Transplant data and marriage length data from the CPS fertility supplement.

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File URL: http://rcer.econ.rochester.edu/RCERPAPERS/rcer_495.pdf
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Publisher Info
Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 495.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 37 pages
Date of creation: Oct 2002
Date of revision:
Handle: RePEc:roc:rocher:495

Contact details of provider:
Postal: UNIVERSITY OF ROCHESTER, CENTER FOR ECONOMIC RESEARCH, DEPARTMENT OF ECONOMICS, HARKNESS 231 ROCHESTER NEW YORK 14627 U.S.A.

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Related research
Keywords: Transformation Models; Pairwise Comparison; Maximum Rank Correlation; Duration Analysis;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models

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  1. repec:cup:etheor:v:10:y:1994:i:2:p:372-95 is not listed on IDEAS
  2. Abrevaya, Jason, 1999. "Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 93(2), pages 203-228, December. [Downloadable!] (restricted)
  3. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November. [Downloadable!] (restricted)
  4. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460 Elsevier. [Downloadable!] (restricted)
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  5. Sherman, Robert P., 1994. "U-Processes in the Analysis of a Generalized Semiparametric Regression Estimator," Econometric Theory, Cambridge University Press, vol. 10(02), pages 372-395, June. [Downloadable!]
  6. Honore, Bo & Khan, Shakeeb & Powell, James L., 2002. "Quantile regression under random censoring," Journal of Econometrics, Elsevier, vol. 109(1), pages 67-105, July. [Downloadable!] (restricted)
  7. Ridder, Geert, 1990. "The Non-parametric Identification of Generalized Accelerated Failure-Time Models," Review of Economic Studies, Blackwell Publishing, vol. 57(2), pages 167-81, April. [Downloadable!] (restricted)
  8. Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-37, January. [Downloadable!] (restricted)
  9. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September. [Downloadable!] (restricted)
  10. Abrevaya, Jason, 1999. "Computation of the maximum rank correlation estimator," Economics Letters, Elsevier, vol. 62(3), pages 279-285, March. [Downloadable!] (restricted)
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