An alternative estimator for the censored quantile regression model

Article Abstract:

An alternative estimator was utilized for the linear censored quantile regression model. The estimator was proven effective not only in the linear programming model but also in a situation where the censoring point is a set of regressors' unknown function. A Monte Carlo analysis revealed that the alternative estimator possesses highly desirable small sample characteristics. The estimator was found to be capable of accurately fixing censoring-related bias even under the presence of substantial amount of censoring.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Statistics (Mathematics)

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Restricting regression slopes in the errors-in-variables model by bounding the error correlation

Article Abstract:

A model is presented for errors-in-variables determining when restrictions on the proxied regressor coefficient are bound, and restrictions on the other coefficients are detailed. The effect of placing lower and upper bounds on an error correlation are examined using a multiple regression model including precisely one regressor which is mismeasured. The study builds on work carried out by Gini in the 1920s, and later work by Kalman, Klepper and Leaman in the 1980s.

Noncommercial research organizations, Analysis, Econometrics, Correlation (Statistics)

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Regression with nonstationary volatility

Article Abstract:

An asymptotic regression analysis model was developed for possibly nonstationary time-series. A linear process with martingale difference innovations was used to develop the regressors for the model. The conditional variances for the differences were classified as autoregressive stochastic volatility processes. The model established conditions under which the least squares estimates are consistent and asymptotically normal.

Research

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