The Hat Model: An Estimation Method of Censored Panel Data with Random-Effects Specification

Byeong Soo Kim
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Byeong Soo Kim: Soonchunhyang University

Korean Economic Review, 1993, vol. 9, 187-199

Abstract: This paper suggests an estimation method of censored panel data under random-effects specification. The HAT model assumes a special type of heteroscedasticity which contains the information about cross-sectional and time-series properties of panel data. x2-test statistic to evaluate the model specification is derived. Empirical study with COMPUSTAT data supports the specification of the HAT model.

Date: 1993
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