Reference : Computational study of the error distribution in right-censored and selection-biased reg...

	Document type :	Scientific congresses and symposiums : Unpublished conference
	Discipline(s) :	Business & economic sciences : Quantitative methods in economics & management
	To cite this reference:	http://hdl.handle.net/2268/89129

Title :	Computational study of the error distribution in right-censored and selection-biased regression models
Language :	English
Author, co-author :	Laurent, Géraldine [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > UER Opérations >]
	Heuchenne, Cédric [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Statistique appliquée à la gestion et à l'économie >]
Publication date :	18-May-2010
On invitation :	No
Audience :	National
Event name :	4th Annual Doctoral Workshop of the Graduate School in Statistics and Actuarial Sciences
Event date :	May 18th 2010
Event organizer :	ULg, Gembloux Agro-Bio Tech
Event place (city) :	Gembloux
Event country :	Belgium
Abstract :	[en] Consider the regression model Y = m(X) + σ(X) Ɛ where m(X) =E [Y|X] and σ²(X) = Var [Y|X] are unknown smooth functions and the error Ɛ, with unknown distribution, is independent of X. The pair (X,Y) is subject to generalized selection bias and the response to right censoring. We construct a new estimator for the cumulative distribution function of the error Ɛ, and develop a bootstrap technique to select the smoothing parameter involved in the procedure. The estimator is studied via extended simulations and applied to real unemployment data.
Permalink :	http://hdl.handle.net/2268/89129

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