Two-stage least squares with a randomly right censored outcome

• Tác giả: Jad Beyhum
• Ngôn ngữ: eng
• Ký hiệu phân loại: 526.5 Mathematical geography
• Thông tin xuất bản: 2021
• Bộ sưu tập: Metadata
• ID: 167988

Tóm tắt

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.