arXiv 11 Oct 2021 · Mathematics — Statistics Theory
arXiv:2110.05107 · PDF · DOI · OpenAlex · Extracted main text
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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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Stute (1993) Consistent estimation under random censorship when covariables are present, Journal of Multivariate Analysis 45(1): 89–103 | 0.950 | 7 | 3 | 86% |
| 2 | Stute (1996) Distributional convergence under random censorship when covariables are present, Scandinavian Journal of Statistics pp. 461–471 | 0.511 | 4 | 2 | 25% |
| 3 | Bijwaard \ Ridder (2005) Correcting for selective compliance in a re-employment bonus experiment, Journal of Econometrics 125(1-2): 77–111 | 0.405 | 1 | 1 | 100% |
| 4 | Beyhum, Florens \ Van Keilegom (2021) Nonparametric instrumental regression with right censored duration outcomes, Journal of Business & Economic Statistics pp. 1–12 | 0.405 | 1 | 1 | 100% |
| 5 | Blanco, Chen, Flores \ Flores-Lagunes (2019) Bounds on average and quantile treatment effects on duration outcomes under censoring, selection, and noncompliance, Journal of… | 0.405 | 1 | 1 | 100% |
| 6 | Centorrino \ Florens (2021) Nonparametric estimation of accelerated failure-time models with unobservable confounders and random censoring, Electronic Journ… | 0.405 | 1 | 1 | 100% |
| 7 | Chan (2016) Reader reaction: Instrumental variable additive hazards models with exposure-dependent censoring, Biometrics 72(3): 1003–1005 | 0.405 | 1 | 1 | 100% |
| 8 | Chernozhukov, Fernández-Val \ Kowalski (2015) Quantile regression with censoring and endogeneity, Journal of Econometrics 186(1): 201–221 | 0.405 | 1 | 1 | 100% |
| 9 | Frandsen (2015) Treatment effects with censoring and endogeneity, Journal of the American Statistical Association 110(512): 1745–1752 | 0.405 | 1 | 1 | 100% |
| 10 | Kjaersgaard \ Parner (2016) Instrumental variable method for time-to-event data using a pseudo-observation approach, Biometrics 72(2): 463–472 | 0.405 | 1 | 1 | 100% |
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