Abstract

http://ssrn.com/abstract=1961703
 


 



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


Sule Alan


affiliation not provided to SSRN

Bo E. Honore


Princeton University - Department of Economics

Luojia Hu


Federal Reserve Bank of Chicago; Institute for the Study of Labor (IZA)

Søren Leth‐Petersen


University of Copenhagen - Department of Economics

November 14, 2011

FRB of Chicago Working Paper No. 2011-08

Abstract:     
This paper constructs estimators for panel data regression models with individual specific heterogeneity and two-sided censoring and truncation. Following Powell (1986) 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.

Number of Pages in PDF File: 48

Keywords: Panel Data, Censored Regression, Truncated Regression

JEL Classification: C20, C23, C24

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Date posted: November 19, 2011  

Suggested Citation

Alan, Sule and Honore, Bo E. and Hu, Luojia and Leth‐Petersen, Søren, Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation (November 14, 2011). FRB of Chicago Working Paper No. 2011-08. Available at SSRN: http://ssrn.com/abstract=1961703 or http://dx.doi.org/10.2139/ssrn.1961703

Contact Information

Sule Alan
affiliation not provided to SSRN ( email )
Bo E. Honore
Princeton University - Department of Economics ( email )
Princeton, NJ 08544-1021
United States
Luojia Hu (Contact Author)
Federal Reserve Bank of Chicago ( email )
230 South LaSalle Street
Chicago, IL 60604
United States
Institute for the Study of Labor (IZA)
P.O. Box 7240
Bonn, D-53072
Germany
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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