Estimation of panel data regression models with two-sided censoring or truncation

Sule Alan, Bo E. Honore, Luojia Hu and Søren Leth-Petersen

No WP-2011-08, Working Paper Series from Federal Reserve Bank of Chicago

Abstract: This paper constructs estimators for panel data regression models with individual specific 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 effect of a Danish tax reform on household portfolio choice. The idea behind the estimators can also be used in a cross sectional setting.

Keywords: Regression; analysis (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation (2014)
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