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.
Disciplines :
Quantitative methods in economics & management
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
Language :
English
Title :
Estimation of the error distribution in right censored and selection biased regression models
Publication date :
15 October 2009
Event name :
17th annual meeting of the Belgian Statistical Society
