Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation

Sule Alan, Honoré Bo E., Luojia Hu and Søren Leth-Petersen
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Honoré Bo E.: Department of Economics, Princeton University, Princeton, NJ 08544-1021, USA

Journal of Econometric Methods, 2014, vol. 3, issue 1, 1-20

Abstract: This paper constructs estimators for panel data regression models with individual specific heterogeneity and two-sided censoring and truncation. Following Powell 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: censored regression, panel data, truncated regression, JEL Code: C20; C23; C24 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (17)

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Working Paper: Estimation of panel data regression models with two-sided censoring or truncation (2011)
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DOI: 10.1515/jem-2012-0012

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