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We construct n-consistent and asymptotically normal estimates for the finite dimensional regression parameter in the current status linear regression model, which do not require any smoothing device and are based on maximum likelihood estimates (MLEs) of the infinite dimensional parameter. We also construct estimates, again only based on these MLEs, which are arbitrarily close to efficient estimates, if the generalized Fisher information is finite. This type of efficiency is also derived under minimal conditions for estimates based on smooth nonmonotone plug-in estimates of the distribution function. Algorithms for computing the estimates and for selecting the bandwidth of the smooth estimates with a bootstrap method are provided. The connection with results in the econometric literature is also pointed out.

Original languageEnglish
Pages (from-to)1415-1444
Number of pages30
JournalAnnals of Statistics
Volume46
Issue number4
DOIs
Publication statusPublished - 2018

    Research areas

  • Current status, Linear regression, MLE, Semiparametric model

ID: 46746926