Truncated regression model
Truncated regression models are a class of models in which the sample has been truncated for certain ranges of the dependent variable. That means observations with values in the dependent variable below or above certain thresholds are systematically excluded from the sample. Therefore, whole observations are missing, so that neither the dependent nor the independent variable is known. This is in contrast to censored regression models where only the value of the dependent variable is clustered at a lower threshold, an upper threshold, or both, while the value for independent variables is available.[1]
Sample truncation is a pervasive issue in quantitative social sciences when using observational data, and consequently the development of suitable estimation techniques has long been of interest in econometrics and related disciplines.[2] In the 1970s, James Heckman noted the similarity between truncated and otherwise non-randomly selected samples, and developed the Heckman correction.[3][4]
Estimation of truncated regression models is usually done via parametric, semi-parametric, and non-parametric maximum likelihood methods.[5]
See also
References
- ^ Breen, Richard (1996). Regression Models : Censored, Samples Selected, or Truncated Data. Thousand Oaks: Sage. pp. 2–4. ISBN 0-8039-5710-6.
- ^ Amemiya, T. (1973). "Regression Analysis When the Dependent Variable is Truncated Normal". Econometrica. 41: 997–1016.
- ^ Heckman, James J. (1976). "The Common Structure of Statistical Models of Truncation, Sample Selection, and Limited Dependent Variables and a Simple Estimator for Such Models". Annals of Economic and Social Measurement. 15: 475–492.
- ^ Heckman, James J. (1979). "Sample Selection Bias as a Specification Error". Econometrica. 47 (1): 153–161. doi:10.2307/1912352.
- ^ Lewbel, A.; Linton, O. (2002). "Nonparametric Censored and Truncated Regression". Econometrica. 70: 765–779.
Further reading
- Breen, Richard (1996). "Sample-Selection Models and the Truncated Regression Model". Regression Models : Censored, Samples Selected, or Truncated Data. Thousand Oaks: Sage. pp. 33–47. ISBN 0-8039-5710-6.
- Frölich, Markus (2002). Semiparametric Estimation of Selectivity Models. New York: Nova Science. ISBN 1-59033-277-6.
- King, Gary (1989). "Models with Nonrandom Selection". Unifying Political Methodology : the Likehood Theory of Statistical Inference. Cambridge University Press. pp. 208–230. ISBN 0-521-36697-6.
{{cite book}}: External link in|chapterurl=|chapterurl=ignored (|chapter-url=suggested) (help) - Maddala, G. S. (1983). "Censored and Truncated Regression Models". Limited-Dependent and Qualitative Variables in Econometrics. New York: Cambridge University Press. pp. 149–196. ISBN 0-521-24143-X.
 | This Econometrics-related article is a stub. You can help Wikipedia by expanding it. |