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An Alternative Estimator for the Censored Quantile Regression Model

Citations

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Cited by:

  1. Chen, Songnian, 2018. "Sequential estimation of censored quantile regression models," Journal of Econometrics, Elsevier, vol. 207(1), pages 30-52.
  2. Machado, Jose A F & Santos Silva, Joao M C, 2008. "Quantiles for Fractions and Other Mixed Data," Economics Discussion Papers 3550, University of Essex, Department of Economics.
  3. Victor Chernozhukov & Iv·n Fern·ndez-Val & Alfred Galichon, 2010. "Quantile and Probability Curves Without Crossing," Econometrica, Econometric Society, vol. 78(3), pages 1093-1125, May.
  4. Liu, Haoming & Park, Cheolsung, 2004. "The evolution of the graduation-publication process," Economics of Education Review, Elsevier, vol. 23(5), pages 519-531, October.
  5. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74, Elsevier.
  6. repec:hal:wpspec:info:hdl:2441/5rkqqmvrn4tl22s9mc4b6ga2g is not listed on IDEAS
  7. repec:spo:wpmain:info:hdl:2441/5rkqqmvrn4tl22s9mc4b6ga2g is not listed on IDEAS
  8. Joshua Angrist & Victor Chernozhukov & Iván Fernández-Val, 2006. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," Econometrica, Econometric Society, vol. 74(2), pages 539-563, March.
  9. Danúbia R. Cunha & Jose Angelo Divino & Helton Saulo, 2022. "On a log-symmetric quantile tobit model applied to female labor supply data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 49(16), pages 4225-4253, December.
  10. Denis Chetverikov & Jesper R.-V. Sørensen, 2021. "Analytic and Bootstrap-after-Cross-Validation Methods for Selecting Penalty Parameters of High-Dimensional M-Estimators," Discussion Papers 21-04, University of Copenhagen. Department of Economics.
  11. Lin, Wei & Cai, Zongwu & Li, Zheng & Su, Li, 2015. "Optimal smoothing in nonparametric conditional quantile derivative function estimation," Journal of Econometrics, Elsevier, vol. 188(2), pages 502-513.
  12. Marcel Fafchamps & Christine Moser, 2003. "Crime, Isolation and Law Enforcement," Journal of African Economies, Centre for the Study of African Economies, vol. 12(4), pages 625-671, December.
  13. Elise Coudin & Jean-Marie Dufour, 2009. "Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 19-49, January.
  14. Kim, Mo Se & Lee, Byung Sung & Lee, Hye Seon & Lee, Seung Ho & Lee, Junseok & Kim, Wonse, 2020. "Robust estimation of outage costs in South Korea using a machine learning technique: Bayesian Tobit quantile regression," Applied Energy, Elsevier, vol. 278(C).
  15. Manuel Arellano & Stéphane Bonhomme & Micole De Vera & Laura Hospido & Siqi Wei, 2022. "Income risk inequality: Evidence from Spanish administrative records," Quantitative Economics, Econometric Society, vol. 13(4), pages 1747-1801, November.
  16. Lu, Xuewen & Burke, M.D., 2005. "Censored multiple regression by the method of average derivatives," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 182-205, July.
  17. Palacios-Huerta, Ignacio, 2001. "The human capital of stockholders and the international diversification puzzle," Journal of International Economics, Elsevier, vol. 54(2), pages 309-331, August.
  18. Fack, Gabrielle & Landais, Camille, 2016. "The effect of tax enforcement on tax elasticities: Evidence from charitable contributions in France," Journal of Public Economics, Elsevier, vol. 133(C), pages 23-40.
  19. Christophe Muller, 2006. "Optimising Anti-Poverty Transfers With Quantile Regressions," IDEP Working Papers 0601, Institut d'economie publique (IDEP), Marseille, France, revised Feb 2006.
  20. Moshe Buchinsky & Phillip Leslie, 2010. "Educational Attainment and the Changing U.S. Wage Structure: Dynamic Implications on Young Individuals' Choices," Journal of Labor Economics, University of Chicago Press, vol. 28(3), pages 541-594, July.
  21. Jin-Jian Hsieh & Cheng-Chih Hsieh, 2023. "Quantile Regression Based on the Weighted Approach with Dependent Truncated Data," Mathematics, MDPI, vol. 11(17), pages 1-13, August.
  22. Iv'an Fern'andez-Val & Franco Peracchi & Aico van Vuuren & Francis Vella, 2018. "Selection and the Distribution of Female Hourly Wages in the U.S," Papers 1901.00419, arXiv.org, revised Jan 2022.
  23. John Simon & Tahlee Stone, 2017. "The Property Ladder after the Financial Crisis: The First Step is a Stretch but Those Who Make It Are Doing OK," RBA Research Discussion Papers rdp2017-05, Reserve Bank of Australia.
  24. Gabrielle Fack & Camille Landais, 2010. "Are Tax Incentives for Charitable Giving Efficient? Evidence from France," NBER Chapters, in: Income Taxation, Trans-Atlantic Public Economics Seminar (TAPES), pages 117-141, National Bureau of Economic Research, Inc.
  25. Fan, Yanqin & Liu, Ruixuan, 2018. "Partial identification and inference in censored quantile regression," Journal of Econometrics, Elsevier, vol. 206(1), pages 1-38.
  26. Arthur Lewbel & Oliver Linton, 2002. "Nonparametric Censored and Truncated Regression," Econometrica, Econometric Society, vol. 70(2), pages 765-779, March.
  27. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc4b6ga2g is not listed on IDEAS
  28. Brown, Sarah & Taylor, Karl, 2015. "Charitable Behaviour and the Big Five Personality Traits: Evidence from UK Panel Data," IZA Discussion Papers 9318, Institute for the Study of Labor (IZA).
  29. Jad Beyhum & Lorenzo Tedesco & Ingrid Van Keilegom, 2022. "Instrumental variable quantile regression under random right censoring," Papers 2209.01429, arXiv.org, revised Feb 2023.
  30. Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Quantile and probability curves without crossing," CeMMAP working papers CWP10/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  31. Lin, Guixian & He, Xuming & Portnoy, Stephen, 2012. "Quantile regression with doubly censored data," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 797-812.
  32. Blundell, Richard & Powell, James L., 2007. "Censored regression quantiles with endogenous regressors," Journal of Econometrics, Elsevier, vol. 141(1), pages 65-83, November.
  33. Yinchu Zhu, 2018. "Learning non-smooth models: instrumental variable quantile regressions and related problems," Papers 1805.06855, arXiv.org, revised Sep 2019.
  34. Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
  35. Chernozhukov, Victor & Fernández-Val, Iván & Kowalski, Amanda E., 2015. "Quantile regression with censoring and endogeneity," Journal of Econometrics, Elsevier, vol. 186(1), pages 201-221.
  36. Bernd Fitzenberger & Ralf Wilke, 2006. "Using quantile regression for duration analysis," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 105-120, March.
  37. Sungwon Lee & Joon H. Ro, 2020. "Nonparametric Tests for Conditional Quantile Independence with Duration Outcomes," Working Papers 2013, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
  38. Hideo Kozumi & Genya Kobayashi, 2009. "Gibbs Sampling Methods for Bayesian Quantile Regression," Discussion Papers 2009-02, Kobe University, Graduate School of Business Administration.
  39. Fitzenberger, Bernd & Winker, Peter, 2007. "Improving the computation of censored quantile regressions," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 88-108, September.
  40. Peng, Limin, 2012. "Self-consistent estimation of censored quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 368-379.
  41. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
  42. Honore, Bo & Khan, Shakeeb & Powell, James L., 2002. "Quantile regression under random censoring," Journal of Econometrics, Elsevier, vol. 109(1), pages 67-105, July.
  43. Machado, José A.F. & Santos Silva, J.M.C. & Wei, Kehai, 2016. "Quantiles, corners, and the extensive margin of trade," European Economic Review, Elsevier, vol. 89(C), pages 73-84.
  44. Yuanshan Wu & Yanyuan Ma & Guosheng Yin, 2015. "Smoothed and Corrected Score Approach to Censored Quantile Regression With Measurement Errors," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1670-1683, December.
  45. Christophe Muller & Sami Bibi, 2006. "Focused Targeting against Poverty Evidence from Tunisia," IDEP Working Papers 0602, Institut d'economie publique (IDEP), Marseille, France, revised Apr 2006.
  46. Lu, Xuewen & Cheng, Tsung-Lin, 2007. "Randomly censored partially linear single-index models," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1895-1922, November.
  47. Daniel Pollmann & Thomas Dohmen & Franz Palm, 2020. "Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes," De Economist, Springer, vol. 168(4), pages 519-540, December.
  48. Ludsteck, Johannes & Haupt, Harald, 2007. "An Empirical Test of the Reder Hypothesis," Discussion Papers in Economics 1397, University of Munich, Department of Economics.
  49. Li, Tong & Oka, Tatsushi, 2015. "Set identification of the censored quantile regression model for short panels with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 363-377.
  50. Victor Champonnois & Olivier Chanel, 2016. "How useful are (Censored) Quantile Regressions for Contingent Valuation?," Working Papers 2016.12, FAERE - French Association of Environmental and Resource Economists.
  51. Gustavsen, Geir Wæhler & Rickertsen, Kyrre, 2013. "Adjusting VAT rates to promote healthier diets in Norway: A censored quantile regression approach," Food Policy, Elsevier, vol. 42(C), pages 88-95.
  52. Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 98(2), pages 283-316, October.
  53. Seoyun Hong, 2023. "Censored Quantile Regression with Many Controls," Papers 2303.02784, arXiv.org.
  54. J.-M. Daussin-Benichou & A. Mauroux, 2014. "Turning the heat up. How sensitive are households to fiscal incentives on energy efficiency investments?," Documents de Travail de l'Insee - INSEE Working Papers g2014-06, Institut National de la Statistique et des Etudes Economiques.
  55. Jin-Jian Hsieh & Hong-Rui Wang, 2018. "Quantile regression based on counting process approach under semi-competing risks data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(2), pages 395-419, April.
  56. repec:hal:spmain:info:hdl:2441/5rkqqmvrn4tl22s9mc4b6ga2g is not listed on IDEAS
  57. Jorge David Quinteo Otero & William Orlando Prieto Bustos & Fernando Barrios Aguirre & Laura Elena Leviller Guardo, 2008. "Determinantes de la eficiencia técnica en las empresas colombianas, 2001-2004," Revista Semestre Económico, Universidad de Medellín, November.
  58. Siddique, Md Abubakar & Nobanee, Haitham & Karim, Sitara & Naz, Farah, 2023. "Do green financial markets offset the risk of cryptocurrencies and carbon markets?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 822-833.
  59. Victor Champonnois & Olivier Chanel & Costin Protopopescu, 2022. "Quantile Regression Analysis of Censored Data with Selection An Application to Willingness-to-Pay Data," Working Papers hal-03739861, HAL.
  60. Kartashova, Katya & Tomlin, Ben, 2017. "House prices, consumption and the role of non-Mortgage debt," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 121-134.
  61. Hyytinen, Ari & Toivanen, Otto, 2005. "Do financial constraints hold back innovation and growth?: Evidence on the role of public policy," Research Policy, Elsevier, vol. 34(9), pages 1385-1403, November.
  62. Oberhofer, Walter & Haupt, Harry, 2005. "Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design," University of Regensburg Working Papers in Business, Economics and Management Information Systems 406, University of Regensburg, Department of Economics.
  63. Ji, Yonggang & Lin, Nan & Zhang, Baoxue, 2012. "Model selection in binary and tobit quantile regression using the Gibbs sampler," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 827-839.
  64. Iván Fernández‐Val & Aico van Vuuren & Francis Vella & Franco Peracchi, 2023. "Selection and the distribution of female real hourly wages in the United States," Quantitative Economics, Econometric Society, vol. 14(2), pages 571-607, May.
  65. P. Čížek & S. Sadikoglu, 2018. "Bias-corrected quantile regression estimation of censored regression models," Statistical Papers, Springer, vol. 59(1), pages 215-247, March.
  66. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
  67. Daniel Pollmann & Thomas Dohmen & Franz Palm, 2020. "Dispersion estimation; Earnings risk; Censoring; Quantile regression; Occupational choice; Sorting; Risk preferences; SOEP; IABS," ECONtribute Discussion Papers Series 028, University of Bonn and University of Cologne, Germany.
  68. Jiang, Rong & Qian, Weimin & Zhou, Zhangong, 2012. "Variable selection and coefficient estimation via composite quantile regression with randomly censored data," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 308-317.
  69. Zhou, Xiuqing & Wang, Jinde, 2005. "A genetic method of LAD estimation for models with censored data," Computational Statistics & Data Analysis, Elsevier, vol. 48(3), pages 451-466, March.
  70. Heuchenne, Cédric & Van Keilegom, Ingrid, 2007. "Location estimation in nonparametric regression with censored data," Journal of Multivariate Analysis, Elsevier, vol. 98(8), pages 1558-1582, September.
  71. Rima Rajab & Milan Dražić & Nenad Mladenović & Pavle Mladenović & Keming Yu, 2015. "Fitting censored quantile regression by variable neighborhood search," Journal of Global Optimization, Springer, vol. 63(3), pages 481-500, November.
  72. 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.
  73. Yunwen Yang & Huixia Judy Wang & Xuming He, 2016. "Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood," International Statistical Review, International Statistical Institute, vol. 84(3), pages 327-344, December.
  74. Arthur Lewbel & Linton, Oliver Linton, 1998. "Nonparametric Censored Regression," Cowles Foundation Discussion Papers 1186, Cowles Foundation for Research in Economics, Yale University.
  75. Bekiros, Stelios & Jlassi, Mouna & Lucey, Brian & Naoui, Kamel & Uddin, Gazi Salah, 2017. "Herding behavior, market sentiment and volatility: Will the bubble resume?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 107-131.
  76. Chen, Songnian & Wang, Qian, 2023. "Quantile regression with censoring and sample selection," Journal of Econometrics, Elsevier, vol. 234(1), pages 205-226.
  77. Denis Chetverikov & Jesper Riis-Vestergaard S{o}rensen, 2021. "Selecting Penalty Parameters of High-Dimensional M-Estimators using Bootstrapping after Cross-Validation," Papers 2104.04716, arXiv.org, revised Aug 2023.
  78. Wei, Bo & Tan, Kean Ming & He, Xuming, 2024. "Estimation of complier expected shortfall treatment effects with a binary instrumental variable," Journal of Econometrics, Elsevier, vol. 238(2).
  79. Bilias, Yannis & Chen, Songnian & Ying, Zhiliang, 2000. "Simple resampling methods for censored regression quantiles," Journal of Econometrics, Elsevier, vol. 99(2), pages 373-386, December.
  80. Tae-Hwan Kim & Halbert White, 2003. "Estimation, Inference, And Specification Testing For Possibly Misspecified Quantile Regression," Advances in Econometrics, in: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, pages 107-132, Emerald Group Publishing Limited.
  81. Kyungchul Song, 2009. "Two-Step Extremum Estimation with Estimated Single-Indices," PIER Working Paper Archive 09-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  82. Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
  83. Viola, Alessandra Pasqualina & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & da Silveira Barbedo, Claudio Henrique, 2019. "Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 251-263.
  84. repec:dau:papers:123456789/4335 is not listed on IDEAS
  85. Christophe MULLER & Sami BIBI, 2008. "Focused Transfer Targeting against Poverty Evidence from Tunisia," THEMA Working Papers 2008-37, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  86. Yanlin Tang & Huixia Wang & Xuming He & Zhongyi Zhu, 2012. "An informative subset-based estimator for censored quantile regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(4), pages 635-655, December.
  87. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
  88. Liqiong Chen & Antonio F. Galvao & Suyong Song, 2021. "Quantile Regression with Generated Regressors," Econometrics, MDPI, vol. 9(2), pages 1-35, April.
  89. Jayabrata Biswas & Kiranmoy Das, 2021. "A Bayesian quantile regression approach to multivariate semi-continuous longitudinal data," Computational Statistics, Springer, vol. 36(1), pages 241-260, March.
  90. Guo, Jing & Wang, Lei & Zhang, Zhengyu, 2022. "Identification and estimation of a heteroskedastic censored regression model with random coefficient dummy endogenous regressors," Economic Modelling, Elsevier, vol. 110(C).
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