The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: May, 1998, Volume 66, Issue 3
https://doi.org/0012-9682(199805)66:3<653:AAEFTC>2.0.CO;2-5
p. 653-671
Jinyong Hahn, Moshe Buchinsky
The paper introduces an alternative estimator for the linear censored quantile regression model. The objective function is globally convex and the estimator is a solution to a linear programming problem. Hence, a global minimizer is obtained in a finite number of simplex iterations. The suggested estimator also applies to the case where the censoring point is an unknown function of a set of regressors. It is shown that, under fairly weak conditions, the estimator has a $\sqrt${n}-convergence rate and is asymptotically normal. In the case of a fixed censoring point, its asymptotic property is nearly equivalent to that of the estimator suggested by Powell (1984, 1986a). A Monte Carlo study performed shows that the suggested estimator has very desirable small sample properties. It precisely corrects for the bias induced by censoring, even when there is a large amount of censoring, and for relatively small sample sizes.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
