Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation
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Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation. / Alan, Sule; Honore, Bo E.; Hu, Luojia; Leth-Petersen, Søren.
In: Journal of Econometric Methods, Vol. 3, No. 1, 2014, p. 1-20.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation
AU - Alan, Sule
AU - Honore, Bo E.
AU - Hu, Luojia
AU - Leth-Petersen, Søren
N1 - JEL Code: C20; C23; C24
PY - 2014
Y1 - 2014
N2 - This paper constructs estimators for panel data regression models with individual speci…fic heterogeneity and two–sided censoring and truncation. Following Powell (1986) the estimation strategy is based on moment conditions constructed from re–censored or re–truncated residuals. While these moment conditions do not identify the parameter of interest, they can be used to motivate objective functions that do. We apply one of the estimators to study the e¤ect of a Danish tax reform on household portfolio choice. The idea behind the estimators can also be used in a cross sectional setting.
AB - This paper constructs estimators for panel data regression models with individual speci…fic heterogeneity and two–sided censoring and truncation. Following Powell (1986) the estimation strategy is based on moment conditions constructed from re–censored or re–truncated residuals. While these moment conditions do not identify the parameter of interest, they can be used to motivate objective functions that do. We apply one of the estimators to study the e¤ect of a Danish tax reform on household portfolio choice. The idea behind the estimators can also be used in a cross sectional setting.
KW - Faculty of Social Sciences
KW - censored regression
KW - panel data
KW - truncated regression
KW - censored regression
KW - panel data
KW - truncated regression
U2 - 10.1515/jem-2012-0012
DO - 10.1515/jem-2012-0012
M3 - Journal article
VL - 3
SP - 1
EP - 20
JO - Journal of Econometric Methods
JF - Journal of Econometric Methods
SN - 2156-6674
IS - 1
ER -
ID: 43885956