I found the Cai paper http://math.uncc.edu/~zcai/censor.pdf    I don't have access to the published paper (in a book)
This is the closest to the presentation in Li/Racine that I found. The Fan/Gijbels papers look different.

I pushed my examples and adding W in KernelCensoredReg https://github.com/josef-pkt/statsmodels/commit/e75d9274a7013e031ffff2a6e6949f63d0699a19  but it's based on a rebased version and won't be consistent with this Pull Request