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Median Unbiasedness of Estimators of Panel Data Censored Regression Models

Published online by Cambridge University Press:  11 February 2009

Jeffrey R. Campbell  and
Bo E. Honoré
Jeffrey R. Campbell
Affiliation:
Northwestern University
Bo E. Honoré
Affiliation:
Northwestern University
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Abstract

This note proves that the estimator of panel data censored regression models proposed in Honoré [2] is median unbiased when only one parameter is estimated. This result is obtained without parametric assumptions about the distribution of the error terms.

Type
Miscellanea
Information
Econometric Theory , Volume 9 , Issue 3 , June 1993 , pp. 499 - 503
Copyright
Copyright © Cambridge University Press 1993

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References

1.Andrews, D.W.K.Exactly median-unbiased estimation of first order autoregressive/unit root models, Econometrica 61 (1993): 139–165.CrossRefGoogle Scholar
2.Honoré, B.E.Trimmed LAD and least squares estimation of truncated and censored regression models with fixed effects. Econometrica 60 (1992): 533–565.CrossRefGoogle Scholar
3.Honoré, B.E. & Powell, J.L. Pairwise difference estimators of censored and truncated regression models. Unpublished Manuscript, 1992.Google Scholar