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Sequential estimation of censored quantile regression models

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  • Chen, Songnian

Abstract

In this paper we propose sequential censored quantile regression (SCQR) and sequential instrumental variables censored quantile regression estimators (SIVCQR). We effectively transform the difficult censored quantile regression and censored instrumental variables quantile regression problems into more standard QR and IVQR procedures, consequently, our approaches make the quantile regression techniques for censored data easily accessible to applied researchers. Simulation results show that both estimators perform well.

Suggested Citation

  • Chen, Songnian, 2018. "Sequential estimation of censored quantile regression models," Journal of Econometrics, Elsevier, vol. 207(1), pages 30-52.
    • Handle: RePEc:eee:econom:v:207:y:2018:i:1:p:30-52
    DOI: 10.1016/j.jeconom.2018.06.020
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    Cited by:

    1. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
    2. Chen, Songnian & Wang, Qian, 2020. "Semiparametric estimation of a censored regression model with endogeneity," Journal of Econometrics, Elsevier, vol. 215(1), pages 239-256.
    3. Seoyun Hong, 2023. "Censored Quantile Regression with Many Controls," Papers 2303.02784, arXiv.org.
    4. Bilias, Yannis & Florios, Kostas & Skouras, Spyros, 2019. "Exact computation of Censored Least Absolute Deviations estimator," Journal of Econometrics, Elsevier, vol. 212(2), pages 584-606.
    5. Chen, Songnian & Wang, Qian, 2023. "Quantile regression with censoring and sample selection," Journal of Econometrics, Elsevier, vol. 234(1), pages 205-226.
    6. Hertrich, Markus, 2020. "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers 21/2020, Deutsche Bundesbank.
    7. Lorenzo Tedesco & Jad Beyhum & Ingrid Van Keilegom, 2023. "Instrumental variable estimation of the proportional hazards model by presmoothing," Papers 2309.02183, arXiv.org.
    8. Chen, Songnian, 2023. "Two-step estimation of censored quantile regression for duration models with time-varying regressors," Journal of Econometrics, Elsevier, vol. 235(2), pages 1310-1336.

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    More about this item

    Keywords

    Quantile regression; Instrumental variable; Censoring;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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