Truncated regression models are a class of

models A model is an informative representation of an object, person or system. The term originally denoted the plans of a building in late 16th-century English, and derived via French and Italian ultimately from Latin ''modulus'', a measure. Models c ...

in which the

sample Sample or samples may refer to: Base meaning * Sample (statistics), a subset of a population – complete data set * Sample (signal), a digital discrete sample of a continuous analog signal * Sample (material), a specimen or small quantity of s ...

has been truncated for certain ranges of the

dependent variable Dependent and independent variables are variables in mathematical modeling, statistical modeling and experimental sciences. Dependent variables receive this name because, in an experiment, their values are studied under the supposition or demand ...

. That means observations with values in the dependent variable below or above certain thresholds are systematically excluded from the sample. Therefore, whole observations are missing, so that neither the dependent nor the independent variable is known. This is in contrast to censored regression models where only the value of the dependent variable is clustered at a lower threshold, an upper threshold, or both, while the value for independent variables is available. Sample truncation is a pervasive issue in quantitative social sciences when using observational data, and consequently the development of suitable estimation techniques has long been of interest in econometrics and related disciplines. In the 1970s, James Heckman noted the similarity between truncated and otherwise non-randomly selected samples, and developed the Heckman correction. Estimation of truncated regression models is usually done via parametric maximum likelihood method. More recently, various semi-parametric and non-parametric generalisation were proposed in the literature, e.g., based on the local least squares approach or the local maximum likelihood approach, which are kernel based methods.

See also

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Further reading