Estimation of the error distribution in right censored and selection biased regression models

Reference : Estimation of the error distribution in right censored and selection biased regressio...


	Document type :	Scientific congresses and symposiums : Unpublished conference/Abstract
	Discipline(s) :	Business & economic sciences : Quantitative methods in economics & management
	To cite this reference:	http://hdl.handle.net/2268/26298

Title :	Estimation of the error distribution in right censored and selection biased regression models
Language :	English
Author, co-author :	Laurent, Géraldine [Université de Liège - ULiège > HEC-Ecole de gestion > HEC-Ecole de gestion >]
	Heuchenne, Cédric [Université de Liège - ULiège > HEC-Ecole de gestion : UER > Statistique appliquée à la gestion et à l'économie >]
Publication date :	15-Oct-2009
Peer reviewed :	No
On invitation :	No
Audience :	National
Event name :	17th annual meeting of the Belgian Statistical Society
Event date :	October 14-16
Event place (city) :	Lommel
Event country :	Belgium
Keywords :	[en] Nonparametric regression ; Selection bias ; Right censoring ; Bootstrap ; Bandwidth selection
Abstract :	[en] Consider the location-scale regression model Y=m(X) + σ(X) Ɛ where the error Ɛ is independent of the covariate X and where m and σ are unknown smooth functions. The pair (X; Y ) is subject to generalized bias selection and the response to right censoring. We construct an estimator for the cumulative distribution function of the error Ɛ, and develop a bootstrap procedure to select the smoothing parameter involved in the procedure. This method is studied via extension simulations and applied to real unemployment data.
Permalink :	http://hdl.handle.net/2268/26298

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