Reference : Introduction of the asymptotic study of the estimation of the error distribution in righ...
Scientific congresses and symposiums : Poster
Business & economic sciences : Quantitative methods in economics & management
http://hdl.handle.net/2268/89148
Introduction of the asymptotic study of the estimation of the error distribution in right censored and selection biased regression models
English
Laurent, Géraldine mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > UER Opérations >]
Heuchenne, Cédric mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Statistique appliquée à la gestion et à l'économie >]
Oct-2010
A0
No
No
National
18th Annual meeting of the Belgian Statistical Society
du 13 octobre 2010 au 15 octobre 2010
Spa
Belgium
[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.
http://hdl.handle.net/2268/89148

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