Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation
affiliation not provided to SSRN
Bo E. Honoré
Princeton University - Department of Economics
Federal Reserve Bank of Chicago; Institute for the Study of Labor (IZA)
University of Copenhagen - Department of Economics
November 14, 2011
FRB of Chicago Working Paper No. 2011-08
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
Date posted: November 19, 2011
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