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A note on distortions induced by truncation with applications to linear regression systems

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  • Marchetti, Giovanni M.
  • Stanghellini, Elena

Abstract

We explore the effects of truncation on the joint distribution of the observable random variables. A general formula for the distortion induced by truncation in the least-squares coefficients is presented. The implications of our derivations are illustrated with an example.

Suggested Citation

  • Marchetti, Giovanni M. & Stanghellini, Elena, 2008. "A note on distortions induced by truncation with applications to linear regression systems," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 824-829, April.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:6:p:824-829
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    References listed on IDEAS

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    1. A. Capitanio & A. Azzalini & E. Stanghellini, 2003. "Graphical models for skew‐normal variates," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(1), pages 129-144, March.
    2. Nanny Wermuth & D. R. Cox, 2004. "Joint response graphs and separation induced by triangular systems," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 687-717, August.
    3. Francis Vella, 1998. "Estimating Models with Sample Selection Bias: A Survey," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 127-169.
    4. Goldberger, Arthur S., 1981. "Linear regression after selection," Journal of Econometrics, Elsevier, vol. 15(3), pages 357-366, April.
    5. Peter Spirtes & Thomas Richardson & Christopher Meek & Richard Scheines & Clark Glymour, 1998. "Using Path Diagrams as a Structural Equation Modeling Tool," Sociological Methods & Research, , vol. 27(2), pages 182-225, November.
    6. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
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    Cited by:

    1. Young, Phil D. & Kahle, David J. & Young, Dean M., 2017. "On the independence of singular multivariate skew-normal sub-vectors," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 58-62.
    2. Elena Stanghellini, 2012. "Comments on: Sequence of regressions and their independences," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 265-267, June.

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