SEMIPARAMETRIC EFFICIENCY FOR CENSORED LINEAR REGRESSION MODELS WITH HETEROSKEDASTIC ERRORS
Keyword(s):
Using a simplified approach developed by Severini and Tripathi (2001), we calculate the semiparametric efficiency bound for the finite-dimensional parameters of censored linear regression models with heteroskedastic errors. Under an additional identification at infinity type assumption, we propose an efficient estimator based on a novel result from Lewbel and Linton (2002). An extension to censored partially linear single-index models is also presented.
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2019 ◽
Vol 32
(4)
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pp. 1194-1210
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2013 ◽
Vol 29
(3)
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pp. 631-644
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2006 ◽
Vol 76
(4)
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pp. 412-422
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2005 ◽
Vol 92
(2)
◽
pp. 386-404
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Keyword(s):