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SSRN Electronic Journal
Article . 2021 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2021
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
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Two-Stage Least Squares with a Randomly Right-Censored Outcome

Authors: Beyhum, Jad;

Two-Stage Least Squares with a Randomly Right-Censored Outcome

Abstract

This note develops a simple two-stage least squares (2SLS) procedure to estimate the causal effect of some endogenous regressors on a randomly right censored outcome in the linear model. The proposal replaces the usual ordinary least squares regressions of the standard 2SLS by weighted least squares regressions. The weights correspond to the inverse probability of censoring. We show consistency and asymptotic normality of the estimator. The estimator exhibits good finite sample performances in simulations.

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Keywords

FOS: Economics and business, Econometrics (econ.EM), FOS: Mathematics, Mathematics - Statistics Theory, Statistics Theory (math.ST), Economics - Econometrics

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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bronze
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