Estimation of Panel Data Models with Two-Sided Censoring
York University; McMaster University; University of Copenhagen - Department of Economics
Bo E. Honoré
Princeton University - Department of Economics
University of Copenhagen - Department of Economics
November 9, 2008
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
Date posted: January 12, 2009
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