Variable selection problem in the censored regression models

Chihwa Kao

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

In this paper we discuss the variable selection problem for the censored regression models. The Schme-Hahn (1979) estimator for the censored normal model and the Buckley-James (1979) estimator for the non-parametric censored model are discussed. It is shown, through the EM algorithm, that the variable selection problem for these estimators can be converted into a variable selection problem in a standard linear regression model. We show that the expectation of maximum likelihood residuals converges to zero in large samples.

Original languageEnglish (US)
Pages (from-to)353-357
Number of pages5
JournalEconomics Letters
Volume22
Issue number4
DOIs
StatePublished - 1986

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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