Two-Stage Least Squares with a Randomly Right-Censored Outcome

@article{Beyhum2021TwoStageLS,
  title={Two-Stage Least Squares with a Randomly Right-Censored Outcome},
  author={Jad Beyhum},
  journal={ERN EM Feeds},
  year={2021}
}
  • Jad Beyhum
  • Published 11 October 2021
  • Mathematics, Economics
  • ERN EM Feeds
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… 

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