English, Article, Journal or magazine article edition: Weighted and Two Stage Least Squares Estimation of Semiparametric Truncated Regression Models Shakeeb Khan; Arthur Lewbel

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Bookmark: http://trove.nla.gov.au/version/73065
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Weighted and Two Stage Least Squares Estimation of Semiparametric Truncated Regression Models
Author
  • Shakeeb Khan
  • Arthur Lewbel
Physical Description
  • preprint
Notes
  • This paper provides a root-n consistent, asymptotically normal weighted least squares estimator of the coefficients in a truncated regression model. The distribution of the errors is unknown and permits general forms of unknown heteroskedasticity. Also provided is an instrumental variables based two stage least squares estimator for this model, which can be used when some regressors are endogenous, mismeasured, or otherwise correlated with the errors. A simulation study indicates the new estimators perform well in finite samples. Our limiting distribution theory includes a new asymptotic trimming result addressing the boundary bias in first stage density estimation without knowledge of the support boundary.
  • Semiparametric, Truncated Regression, Heteroscedasticity, Latent Variable Models, Endogenous Regressors.
  • RePEc:boc:bocoec:525
Language
  • English
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