Estimation with censored regressors: Basic issues

• 成果类型: Article
• 署名作者: Rigobon, Roberto; Stoker, Thomas M.
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2007.00470.x
• 发表日期: 2007
• 页码: 1441-1467
• 关键词: semiparametric efficiency; models; inference; outcomes

摘要

We study issues that arise for estimation of a linear model when a regressor is censored. We discuss the efficiency losses from dropping censored observations, and illustrate the losses for bound censoring. We show that the common practice of introducing a dummy variable to '' correct for '' censoring does not correct bias or improve estimation. We show how censored observations generally have zero semiparametric information, and we discuss implications for estimation. We derive the likelihood function for a parametric model of mixed bound-independent censoring, and apply that model to the estimation of wealth effects on consumption.