Trimmed and winsorized semiparametric estimator for left-truncated and right-censored regression models

Abstract

For a linear regression model subject to left-truncation and right-censoring where the truncation and censoring points are known constants (or always observed if random), Karlsson and Laitila (Stat Probab Lett 78:2567-2571, 2008) proposed a semiparametric estimator which deals with left-truncation by trimming and right-censoring by 'winsorizing'. The estimator was motivated by a zero moment condition where a transformed error term appears with trimmed and winsorized tails. This paper takes the semiparametric estimator further by deriving the asymptotic distribution that was not shown in Karlsson and Laitila (Stat Probab Lett 78:2567-2571, 2008) and discusses its implementation aspects in practice, albeit brief.