This paper derives the asymptotic distribution theory for censored regression models with endogenous covariates under no parametric assumptions on the disturbance distribution, extending the modeling framework of Powell (1986). While it is well known that under some restrictions the use of reduced form residuals will lead to consistent estimators of the structural parameters, derivation of the ...

In this paper, the allocation of women’s time to housework and child-care is analysed using data from the 1997 Swiss Labour Force Survey (SLFS). The main aim of this study is to investigate the effect that the level of education has on the allocation of women’s time to non-market labour. It is shown that the usual negative-to-insignificant relationship between the level of education and the all...

In this paper we consider identiication and estimation of a censored nonparametric location scale model. We rst show that in the case where the location function is strictly less than the ((xed) censoring point for all values in the support of the explanatory variables, then the location function is not identiied anywhere. In contrast, if the location function is greater or equal to the censor-...

In a regression model with univariate censored responses, a new estimator of the joint distribution function of the covariates and response is proposed, under the assumption that the response and the censoring variable are independent conditionally to the covariates. This estimator is based on the conditional Kaplan-Meier estimator of Beran (1981), and happens to be an extension of the multivar...

The main objective of this study is to examine the determinants of consumers’ willingnessto-pay for monorail transportation in Penang (Malaysia). Cross sectional primary survey data with a total of 498 respondents is used for the analysis via a censored regression model. The results demonstrate that habit of recycling, experience in using urban rail-based transportation and problems of insuffic...

This paper takes issues with the appropriateness of applying the stochastic frontier analysis (SFA) technique to account for environmental effects and statistical noise in the popular three-stage data envelopment analysis (DEA). A correctly specified SFA model with a censored dependent variable and the associated maximum likelihood estimation (MLE) are proposed. The simulations show that the fi...

Example 1B. Here we extend the analysis of Example 1B to censored regression models with random coefficients. Let us assume for simplicity that B (x, θ) has full-column rank q, for all θ, almost surely in x. Let V be a T × q matrix such that Q = V V ′ and V ′V = Iq. Let also U be a T × (T − q) matrix such that W = UU ′, and U ′U = IT−q. Lastly, let (μ, ν) = ( V ′Σ− 1 2 y, U ′Σ− 1 2 y ) . Then, ...

This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS market model, and Censored-SS market model, it verifies the effectiveness of Censored-SS market model. Furthermore it has some meaningful conc...