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Poster (Scientific congresses and symposiums)
Introduction of the asymptotic study of the estimation of the error distribution in right censored and selection biased regression models
Laurent, Géraldine; Heuchenne, Cédric
201018th Annual meeting of the Belgian Statistical Society
 

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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 the covariate X. The pair (X;Y) is subject to generalized bias selection and the response to right censoring. We construct a new estimator for the cumulative distribution function of the error Ɛ , where the estimators of m(.) and σ²(.) are obtained by extending the conditional estimation methods introduced in de Uña-Alvarez and Iglesias-Perez (2008). The asymptotic properties of the functions m(.) and σ(.) are obtained. A bootstrap technique is proposed to select the smoothing parameter involved in the procedure. This method is studied via extended 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 : UER > UER Opérations
Heuchenne, Cédric ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Statistique appliquée à la gestion et à l'économie
Language :
English
Title :
Introduction of the asymptotic study of the estimation of the error distribution in right censored and selection biased regression models
Publication date :
October 2010
Number of pages :
A0
Event name :
18th Annual meeting of the Belgian Statistical Society
Event place :
Spa, Belgium
Event date :
du 13 octobre 2010 au 15 octobre 2010
Available on ORBi :
since 18 April 2011

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