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Semiparametric Estimation of Censored Transformation Models

Author

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  • Gorgens, T.

Abstract

Many widely used models, including proportional hazards models with un- observed heterogeneity, can be written in the form (Y ) = min[ 0 X + U; C], where is an unknown increasing function, the error term U has unknown distribution function and is independent of X, C is a random censoring threshold, and U and C are conditionally independent given X. Thispaper develops new n 1=2 -consistent and asymptotically normal semiparametric esti- mators of and which are easier to use than existing estimators. Moreover, Monte Carlo results suggest that the mean integrated squared error of predic- tions based on the new estimators is lower than for existing estimators.

Suggested Citation

  • Gorgens, T., 1998. "Semiparametric Estimation of Censored Transformation Models," Papers 98-13, New South Wales - School of Economics.
    • Handle: RePEc:fth:nesowa:98-13
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    More about this item

    Keywords

    ECONOMETRIC MODELS ; ESTIMATION OF PARAMETERS ; REGRESSION ANALYSIS;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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