SEMIPARAMETRIC ESTIMATION OF NONSTATIONARY CENSORED PANEL DATA MODELS WITH TIME VARYING FACTOR LOADS

Songnian Chen and Shakeeb Khan

Econometric Theory, 2008, vol. 24, issue 05, pages 1149-1173

Abstract: We propose an estimation procedure for a semiparametric panel data censored regression model in which the error terms may be subject to general forms of nonstationarity. Specifically, we allow for heteroskedasticity over time and a time varying factor load on the individual specific effect. Empirically, estimation of this model would be of interest to explore how returns to unobserved skills change over time (1998, Journal of Human Resources 33, 4 $\sqrt{n}$ 408; 1999, Handbook of Labor Economics, vol. 3, 1761 429).

Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:24:y:2008:i:05:p:1149-1173_08

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