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http://ssrn.com/abstract=1325276
 
 

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Estimation of Panel Data Models with Two-Sided Censoring


Sule Alan


York University; McMaster University; University of Copenhagen - Department of Economics

Bo E. Honore


Princeton University - Department of Economics

Søren Leth‐Petersen


University of Copenhagen - Department of Economics

November 9, 2008


Abstract:     
It is straightforward to construct moment conditions for two-sided censored panel data regression models with strictly exogenous explanatory variables. The contribution of this note is to show that one set of these moment conditions uniquely identify the parameters of the model under a natural full-rank condition. The identification result suggests an estimator that is then applied to evaluate the portfolio allocation effect of a Danish tax reform that increased the after-tax capital income of bonds relative to stocks.

Number of Pages in PDF File: 20

Keywords: Censoring, Panel Data, Tax Reform, Portfolio Allocation

JEL Classification: C33, C34, G11, H24

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Date posted: January 12, 2009  

Suggested Citation

Alan, Sule and Honore, Bo E. and Leth‐Petersen, Søren, Estimation of Panel Data Models with Two-Sided Censoring (November 9, 2008). Available at SSRN: http://ssrn.com/abstract=1325276 or http://dx.doi.org/10.2139/ssrn.1325276

Contact Information

Sule Alan
York University ( email )
4700 Keele Street
Toronto, Ontario M3J 1P3
Canada
McMaster University
1280 Main Street West
Hamilton, Ontario L8S 4M4
Canada
University of Copenhagen - Department of Economics ( email )
Copenhagen University Library
Licenssekretariatet Nørre Alle 49
DK-2200 Copenhagen N.
Denmark
Bo E. Honore (Contact Author)
Princeton University - Department of Economics ( email )
Princeton, NJ 08544-1021
United States
Soren Leth-Petersen
University of Copenhagen - Department of Economics ( email )
Copenhagen University Library
Licenssekretariatet Nørre Alle 49
DK-2200 Copenhagen N.
Denmark
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