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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 Soren 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.
Keywords: Censoring, Panel Data, Tax Reform, Portfolio Allocation JEL Classifications: C33, C34, G11, H24 Working Paper SeriesDate posted: January 12, 2009 ; Last revised: January 12, 2009Suggested CitationContact Information
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